[ci][tests] install joblib for test directly (#2374)

.appveyor.yml

@@ -30,7 +30,7 @@ install:
   - activate
   - conda config --set always_yes yes --set changeps1 no
   - conda update -q -y conda
-  - conda create -q -y -n test-env python=%PYTHON_VERSION% matplotlib numpy pandas psutil pytest python-graphviz scikit-learn scipy
+  - conda create -q -y -n test-env python=%PYTHON_VERSION% joblib matplotlib numpy pandas psutil pytest python-graphviz scikit-learn scipy
   - activate test-env
   - set PATH=%CONDA_PREFIX%\Library\bin\graphviz;%PATH%  # temp graphviz hotfix
 

.ci/test.sh

@@ -66,7 +66,7 @@ if [[ $TASK == "if-else" ]]; then
     exit 0
 fi
 
-conda install -q -y -n $CONDA_ENV matplotlib numpy pandas psutil pytest python-graphviz scikit-learn scipy
+conda install -q -y -n $CONDA_ENV joblib matplotlib numpy pandas psutil pytest python-graphviz scikit-learn scipy
 
 if [[ $OS_NAME == "macos" ]] && [[ $COMPILER == "clang" ]]; then
     # fix "OMP: Error #15: Initializing libiomp5.dylib, but found libomp.dylib already initialized." (OpenMP library conflict due to conda's MKL)

.vsts-ci.yml

@@ -127,7 +127,7 @@ jobs:
   - powershell: Write-Host "##vso[task.prependpath]$env:CONDA\Scripts"
     displayName: Enable conda
   - script: |
-      cmd /c "activate & conda config --set always_yes yes --set changeps1 no & conda update -q -y conda & conda create -q -y -n %CONDA_ENV% python=%PYTHON_VERSION% matplotlib numpy pandas psutil pytest python-graphviz scikit-learn scipy"
+      cmd /c "activate & conda config --set always_yes yes --set changeps1 no & conda update -q -y conda & conda create -q -y -n %CONDA_ENV% python=%PYTHON_VERSION% joblib matplotlib numpy pandas psutil pytest python-graphviz scikit-learn scipy"
       cmd /c "activate %CONDA_ENV% & powershell -ExecutionPolicy Bypass -File %BUILD_SOURCESDIRECTORY%/.ci/test_windows.ps1"
     displayName: Test
   - task: PublishBuildArtifacts@1

tests/python_package_test/test_sklearn.py

 # coding: utf-8
 # pylint: skip-file
 import itertools
+import joblib
 import math
 import os
 import unittest
@@ -12,7 +13,6 @@ from sklearn.base import clone
 from sklearn.datasets import (load_boston, load_breast_cancer, load_digits,
                               load_iris, load_svmlight_file)
 from sklearn.exceptions import SkipTestWarning
-from sklearn.externals import joblib
 from sklearn.metrics import log_loss, mean_squared_error
 from sklearn.model_selection import GridSearchCV, train_test_split
 from sklearn.utils.estimator_checks import (_yield_all_checks, SkipTest,