[ci] use GitHub Actions for R CI jobs (fixes #2353)

[jameslamb]

This PR proposes adding GitHub Actions CI and moving all R jobs to it.

GitHub Actions gives you 20 concurrent jobs for free and access to Mac, Linux, and Windows environments.

See #2353 and discussion in this thread: #3065 (comment)

This PR should improve CI times (since AppVeyor runs tasks sequentially and now those tasks will be run concurrently), and should give enough extra CI capacity to test more installation paths for the R package(like R 3.6.x AND R 4.0.0x on #3065 )

Summary of Changes

• move lint job from Travis to GitHub Actions
• remove R Linux and Mac CI jobs from Azure
• remove R jobs from AppVeyor
• remove R jobs from Travis
• add 6 R jobs to GitHub Actions:
  • Windows, MSVC
  • Windows, MINGW
  • Mac, gcc
  • Mac, clang
  • Linux, gcc
  • Linux, clang
• add .ci/download-miktex.R, to make miktexsetup.zip downloads more reliable

Notes for reviewers

• I developed this on my fork, and you can look at the build history there: Ci/GitHub actions jameslamb/LightGBM#28
• I'd like to keep the Azure Windows r-package job, since it gives us access to Visual Studio 2017. GitHub Actions only has Visual Studio 2019 (reference)
• I added .ci/download-miktex.R because maybe 1 out of every 8 builds hit this issue: [ci] peg MiKTeX mirror #3113 (comment)
• the conda step comes from here: https://github.com/marketplace/actions/setup-miniconda
• I had an issue where any code that writes too stderr causes the build to fail, even if the command itself succeeds. I tracked that down to this section of the docs, which state:

Fail-fast behavior when possible. For pwsh and powershell built-in shell, we will prepend $ErrorActionPreference = 'stop' to script contents.

Other references

• https://help.github.com/en/actions/reference/workflow-syntax-for-github-actions#jobsjob_iddefaultsrun
• https://help.github.com/en/actions/reference/virtual-environments-for-github-hosted-runners
• https://help.github.com/en/actions/reference/workflow-commands-for-github-actions#setting-an-environment-variable
• https://github.com/marketplace/actions/setup-miniconda
• https://help.github.com/en/actions/reference/virtual-environments-for-github-hosted-runners#supported-runners-and-hardware-resources
• https://github.com/actions/virtual-environments/blob/master/images/win/Windows2019-Readme.md
• https://stackoverflow.com/questions/2095088/error-when-calling-3rd-party-executable-from-powershell-when-using-an-ide/2095623#2095623
• https://stackoverflow.com/a/11826589/3986677
• https://github.com/marketplace/actions/setup-miniconda
• https://help.github.com/en/actions/reference/workflow-syntax-for-github-actions
• see "fail-fast behavior" in https://help.github.com/en/actions/reference/workflow-syntax-for-github-actions

[jameslamb]

@guolinke I think you need to enable GitHub Actions in this repository for them to build

[StrikerRUS]

@jameslamb Can you please create a branch under this repo and merge you fork into it? Then we will be able to see the result!
https://github.com/microsoft/LightGBM/actions

[jameslamb]

@jameslamb Can you please create a branch under this repo and merge you fork into it? Then we will be able to see the result!
https://github.com/microsoft/LightGBM/actions

ohhhhh I didn't realize that was necessary! Ok I'll create a LightGBM branch and open a new PR...so we can see the status as things are changed after reviews

[jameslamb]

moved to #3119

[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.