Disable parameter validation for Scikit-Learn interface. (#5167)

* Disable parameter validation for now.

Scikit-Learn passes all parameters down to XGBoost, whether they are used or
not.

* Add option `validate_parameters`.

doc/parameter.rst

@@ -29,10 +29,16 @@ General Parameters
 
 * ``verbosity`` [default=1]
 
-  - Verbosity of printing messages.  Valid values are 0 (silent),
-    1 (warning), 2 (info), 3 (debug).  Sometimes XGBoost tries to change
-    configurations based on heuristics, which is displayed as warning message.
-    If there's unexpected behaviour, please try to increase value of verbosity.
+  - Verbosity of printing messages.  Valid values are 0 (silent), 1 (warning), 2 (info), 3
+    (debug).  Sometimes XGBoost tries to change configurations based on heuristics, which
+    is displayed as warning message.  If there's unexpected behaviour, please try to
+    increase value of verbosity.
+
+* ``validate_parameters`` [default to false, except for Python ``train`` function]
+
+  - When set to True, XGBoost will perform validation of input parameters to check whether
+    a parameter is used or not.  The feature is still experimental.  It's expected to have
+    some false positives, especially when used with Scikit-Learn interface.
 
 * ``nthread`` [default to maximum number of threads available if not set]