[R-package] [ci] Added Windows CI for R package

[jameslamb]

This PR adds CI support for the R package on Windows. It also bumps up the version of R we test against from 3.6.1 to 3.6.3.

As of this PR, the following R CMD check NOTES remain on Windows:

note-1

* checking package dependencies ... NOTE
Packages suggested but not available for checking:
  'ggplot2', 'knitr', 'rmarkdown'

note-2

* checking installed package size ... NOTE
  installed size is  6.9Mb
  sub-directories of 1Mb or more:
    libs   6.3Mb

note-3

* checking compiled code ... NOTE
File 'lightgbm/libs/x64/lib_lightgbm.dll':
  Found no calls to: 'R_registerRoutines', 'R_useDynamicSymbols'

It is good practice to register native routines and to disable symbol
search.

note-4

* checking compiled code ... NOTE
Note: information on .o files for x64 is not available
File 'C:/projects/lightgbm/lightgbm.Rcheck/lightgbm/libs/x64/lib_lightgbm.dll':
  Found 'abort', possibly from 'abort' (C), 'runtime' (Fortran)
Compiled code should not call entry points which might terminate R nor
write to stdout/stderr instead of to the console, nor use Fortran I/O
nor system RNGs. The detected symbols are linked into the code but
might come from libraries and not actually be called.

• note-1: not relevant for us, won't actually show up on CRAN and we shouldn't incur the extra time to install those packages. CRAN will have all Suggests dependencies available.
• note-2: only showing up on Windows. Probably some build files not caught by .Rbuildignore. Can be addressed in a follow-up PR.
• note-3: addressed by [R-package] adding routine registration in R package (fixes #1910) microsoft/LightGBM#2911
• note-4: Can be addressed in a follow-up PR.

[jameslamb]

seeing this:

* checking package namespace information ... OK
* checking package dependencies ... ERROR
Packages suggested but not available: 'ggplot2', 'knitr', 'rmarkdown'
The suggested packages are required for a complete check.
Checking can be attempted without them by setting the environment
variable _R_CHECK_FORCE_SUGGESTS_ to a false value.
See section 'The DESCRIPTION file' in the 'Writing R Extensions'
manual.
* DONE
Status: 1 ERROR, 1 NOTE
See
  'C:/projects/lightgbm/lightgbm.Rcheck/00check.log'
for details.
Command exited with code -1

Seems like that check is stricter on Windows than on Linux

[jameslamb]

Things that I see on Appveyor so far:

* checking whether package 'lightgbm' can be installed ... WARNING
Found the following significant warnings:
  Warning: package 'R6' was built under R version 3.6.3
See 'C:/projects/lightgbm/lightgbm.Rcheck/00install.out' for details.

* checking installed package size ... NOTE
  installed size is  6.9Mb
  sub-directories of 1Mb or more:
    libs   6.3Mb

[jameslamb]

details on the software included in the images we use:

• Azure DevOps: https://github.com/actions/virtual-environments/blob/master/images/win/Windows2016-Readme.md
• appveyor:
  • https://www.appveyor.com/docs/windows-images-software/#visual-studio-2015

[jameslamb]

notes on issues with conda activate

• https://www.anaconda.com/conda-4-6-release/
• Conda environment activation not working in PowerShell conda/conda#8428

[jameslamb]

how to remove one item from PATH: https://stackoverflow.com/a/39141462/3986677

to deal with this thing I see on appveyor

* looking to see if a 'data/datalist' file should be added
* building 'lightgbm_2.3.2.tar.gz'
* installing to library 'C:/RLibrary'
* installing *source* package 'lightgbm' ...
** using staged installation
** libs
installing via 'install.libs.R' to C:/RLibrary/00LOCK-lightgbm/00new/lightgbm
CMake Error at C:/Program Files (x86)/CMake/share/cmake-3.16/Modules/CMakeMinGWFindMake.cmake:12 (message):
  sh.exe was found in your PATH, here:
  C:/RLibrary/Rtools/bin/sh.exe
  For MinGW make to work correctly sh.exe must NOT be in your path.
  Run cmake from a shell that does not have sh.exe in your PATH.
  If you want to use a UNIX shell, then use MSYS Makefiles.
Call Stack (most recent call first):
  CMakeLists.txt:7 (PROJECT)
CMake Error: CMAKE_C_COMPILER not set, after EnableLanguage
CMake Error: CMAKE_CXX_COMPILER not set, after EnableLanguage
-- Configuring incomplete, errors occurred!
-- The C compiler identification is GNU 8.1.0
-- The CXX compiler identification is GNU 8.1.0

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.