mrgutkun 4b43810f51 Fix #3663: Allow sklearn API to use callbacks (#3682)
* Fix #3663: Allow sklearn API to use callbacks

* Fix lint

* Add Callback API to Python API doc
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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.