[CI] Revise R tests. (#8430)

- Use the standard package check (check on the tarball instead of the source tree).
- Run commands in parallel.
- Cleanup dependencies installation.
- Replace makefile.
- Documentation.
- Test using the image from rhub.

R-package/tests/helper_scripts/install_deps.R

@@ -0,0 +1,50 @@
+## Install dependencies of R package for testing. The list might not be
+## up-to-date, check DESCRIPTION for the latest list and update this one if
+## inconsistent is found.
+pkgs <- c(
+  ## CI
+  "devtools",
+  "XML",
+  "cplm",
+  "e1071",
+  ## suggests
+  "knitr",
+  "rmarkdown",
+  "ggplot2",
+  "DiagrammeR",
+  "Ckmeans.1d.dp",
+  "vcd",
+  "testthat",
+  "lintr",
+  "igraph",
+  "float",
+  "crayon",
+  "titanic",
+  ## imports
+  "Matrix",
+  "methods",
+  "data.table",
+  "jsonlite"
+)
+
+ncpus <- parallel::detectCores()
+print(paste0("Using ", ncpus, " cores to install dependencies."))
+
+if (.Platform$OS.type == "unix") {
+  print("Installing source packages on unix.")
+  install.packages(
+    pkgs,
+    repo = "https://cloud.r-project.org",
+    dependencies = c("Depends", "Imports", "LinkingTo"),
+    Ncpus = parallel::detectCores()
+  )
+} else {
+  print("Installing binary packages on Windows.")
+  install.packages(
+    pkgs,
+    repo = "https://cloud.r-project.org",
+    dependencies = c("Depends", "Imports", "LinkingTo"),
+    Ncpus = parallel::detectCores(),
+    type = "binary"
+  )
+}