Cache dependencies on Github Action. (#5928)

.github/workflows/main.yml

@@ -25,6 +25,13 @@ jobs:
       with:
         java-version: 1.8
 
+    - name: Cache Maven packages
+      uses: actions/cache@v2
+      with:
+        path: ~/.m2
+        key: ${{ runner.os }}-m2-${{ hashFiles('./jvm-packages/pom.xml') }}
+        restore-keys: ${{ runner.os }}-m2
+
     - name: Test JVM packages
       run: |
         cd jvm-packages
@@ -61,6 +68,13 @@ jobs:
       with:
         r-version: ${{ matrix.config.r }}
 
+    - name: Cache R packages
+      uses: actions/cache@v2
+      with:
+        path: ${{ env.R_LIBS_USER }}
+        key: ${{ runner.os }}-r-${{ matrix.config.r }}-1-${{ hashFiles('R-package/DESCRIPTION') }}
+        restore-keys: ${{ runner.os }}-r-${{ matrix.config.r }}-2-
+
     - name: Install dependencies
       shell: Rscript {0}
       run: |