Run integration tests for Amazon Sagemaker in CI

[ZanSara]

Is your feature request related to a problem? Please describe.
Right now the integration tests don't run in CI. This makes the integration tested only by unit tests.

Describe the solution you'd like
If Sagemaker endpoints can be deployed on demand, running these tests nightly or weekly should be possible. In that case we should run them in CI.

Describe alternatives you've considered
Not running them.

[shadeMe]

Running the integration tests on the CI would require deploying models on Sagemaker, which is not cost-effective. The unit tests will have to do for now.