Use pytest conventions consistently (#6337)

* Do not derive from unittest.TestCase (not needed for pytest)

* assertRaises -> pytest.raises

* Simplify test_empty_dmatrix with test parametrization

* setUpClass -> setup_class, tearDownClass -> teardown_class

* Don't import unittest; import pytest

* Use plain assert

* Use parametrized tests in more places

* Fix test_gpu_with_sklearn.py

* Put back run_empty_dmatrix_reg / run_empty_dmatrix_cls

* Fix test_eta_decay_gpu_hist

* Add parametrized tests for monotone constraints

* Fix test names

* Remove test parametrization

* Revise test_slice to be not flaky

tests/python/test_ranking.py

@@ -2,7 +2,6 @@ import numpy as np
 from scipy.sparse import csr_matrix
 import xgboost
 import os
-import unittest
 import itertools
 import shutil
 import urllib.request
@@ -73,10 +72,10 @@ def test_ranking_with_weighted_data():
         assert all(p <= q for p, q in zip(is_sorted, is_sorted[1:]))
 
 
-class TestRanking(unittest.TestCase):
+class TestRanking:
 
     @classmethod
-    def setUpClass(cls):
+    def setup_class(cls):
         """
         Download and setup the test fixtures
         """
@@ -119,7 +118,7 @@ class TestRanking(unittest.TestCase):
                       }
 
     @classmethod
-    def tearDownClass(cls):
+    def teardown_class(cls):
         """
         Cleanup test artifacts from download and unpacking
         :return:
@@ -144,8 +143,9 @@ class TestRanking(unittest.TestCase):
         cv = xgboost.cv(self.params, self.dtrain, num_boost_round=2500,
                         early_stopping_rounds=10, nfold=10, as_pandas=False)
         assert isinstance(cv, dict)
-        self.assertSetEqual(set(cv.keys()), {'test-ndcg-mean', 'train-ndcg-mean', 'test-ndcg-std', 'train-ndcg-std'},
-                            "CV results dict key mismatch")
+        assert (set(cv.keys()) == {'test-ndcg-mean', 'train-ndcg-mean', 'test-ndcg-std',
+                                   'train-ndcg-std'},
+                'CV results dict key mismatch.')
 
     def test_cv_no_shuffle(self):
         """