Oleksandr Pryimak 923e6c86ba Add to documentation how to run tests locally (#4610)
* Add to documentation how to build native unit tests

* Add instructions to run Python tests and to use Docker container [skip ci]

* Fix link to pytest chapter

* Add link to Google Test [skip ci]

* Set PYTHONPATH [skip ci]

* Revise test_python.sh for running tests locally

* Update test_python.sh

* Place Docker recommendation notice in a prominent place [skip ci]
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The documentation of xgboost is generated with recommonmark and sphinx.

You can build it locally by typing "make html" in this folder.

Checkout https://recommonmark.readthedocs.org for guide on how to write markdown with extensions used in this doc, such as math formulas and table of content.