Jiaming Yuan 584bae1fc6
Fix document build with scikit-learn (#7684)
* Require sphinx >= 4.4 for RTD.

* Install sklearn.
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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.