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-gpu/load_pickle.py

@@ -1,6 +1,5 @@
 '''Loading a pickled model generated by test_pickling.py, only used by
 `test_gpu_with_dask.py`'''
-import unittest
 import os
 import numpy as np
 import xgboost as xgb
@@ -14,7 +13,7 @@ sys.path.append("tests/python")
 import testing as tm
 
 
-class TestLoadPickle(unittest.TestCase):
+class TestLoadPickle:
     def test_load_pkl(self):
         '''Test whether prediction is correct.'''
         assert os.environ['CUDA_VISIBLE_DEVICES'] == '-1'