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`.

tests/python-gpu/test_gpu_pickling.py

@@ -92,6 +92,8 @@ class TestPickling(unittest.TestCase):
         status = subprocess.call(args, env=env)
         assert status == 0
 
+        os.remove(model_path)
+
     def test_pickled_predictor(self):
         x, y = build_dataset()
         train_x = xgb.DMatrix(x, label=y)
@@ -129,6 +131,8 @@ class TestPickling(unittest.TestCase):
         status = subprocess.call(args, env=env)
         assert status == 0
 
+        os.remove(model_path)
+
     def test_predict_sklearn_pickle(self):
         x, y = build_dataset()