[ci] [python-package] fix missing import, test that lightgbm can be imported...

[ci] [python-package] fix missing import, test that lightgbm can be imported with only required dependencies (fixes #5631) (#5632)

.ci/test.sh

@@ -282,4 +282,15 @@ matplotlib.use\(\"Agg\"\)\
     cd $BUILD_DIRECTORY/examples/python-guide/notebooks
     sed -i'.bak' 's/INTERACTIVE = False/assert False, \\"Interactive mode disabled\\"/' interactive_plot_example.ipynb
     jupyter nbconvert --ExecutePreprocessor.timeout=180 --to notebook --execute --inplace *.ipynb || exit -1  # run all notebooks
+
+    # importing the library should succeed even if all optional dependencies are not present
+    conda uninstall --force --yes \
+        dask \
+        distributed \
+        joblib \
+        matplotlib \
+        psutil \
+        python-graphviz \
+        scikit-learn || exit -1
+    python -c "import lightgbm" || exit -1
 fi

python-package/lightgbm/compat.py

@@ -122,6 +122,7 @@ except ImportError:
 
         pass
 
+    _LGBMBaseCrossValidator = None
     _LGBMLabelEncoder = None
     LGBMNotFittedError = ValueError
     _LGBMStratifiedKFold = None