python: follow the default warning filters of Python (#2666)

* python: follow the default warning filters of Python

https://docs.python.org/3/library/warnings.html#default-warning-filters

* update tests

* update tests

Author: henry0312

python-package/xgboost/sklearn.py

@@ -13,8 +13,6 @@
 from .compat import (SKLEARN_INSTALLED, XGBModelBase,
                      XGBClassifierBase, XGBRegressorBase, XGBLabelEncoder)
 
-warnings.simplefilter('always', DeprecationWarning)
-
 
 def _objective_decorator(func):
     """Decorate an objective function

tests/python/test_with_sklearn.py

@@ -2,7 +2,6 @@
 import random
 import xgboost as xgb
 import testing as tm
-import warnings
 from nose.tools import raises
 
 rng = np.random.RandomState(1994)
@@ -340,14 +339,6 @@ def test_sklearn_random_state():
     assert clf.get_xgb_params()['seed'] == 401
 
 
-def test_seed_deprecation():
-    tm._skip_if_no_sklearn()
-    warnings.simplefilter("always")
-    with warnings.catch_warnings(record=True) as w:
-        xgb.XGBClassifier(seed=1).get_xgb_params()
-        assert w[0].category == DeprecationWarning
-
-
 def test_sklearn_n_jobs():
     tm._skip_if_no_sklearn()
 
@@ -358,14 +349,6 @@ def test_sklearn_n_jobs():
     assert clf.get_xgb_params()['nthread'] == 2
 
 
-def test_nthread_deprecation():
-    tm._skip_if_no_sklearn()
-    warnings.simplefilter("always")
-    with warnings.catch_warnings(record=True) as w:
-        xgb.XGBClassifier(nthread=1).get_xgb_params()
-        assert w[0].category == DeprecationWarning
-
-
 def test_kwargs():
     tm._skip_if_no_sklearn()