Speed up dask tests.

[trivialfis]

microsoft/LightGBM#4088 (comment)

[jmoralez]

Hi. I'd be happy to give this a go, just have a couple of questions on the scope.

1. Should this target only the tests that take in a client fixture or every test that builds a cluster?
2. The main component is creating a cluster fixture that lives throughout the tests. What should the client be?
   • A fixture that uses the cluster fixture.
   • Define client = Client(cluster) in every test.
   • Use the with Client(cluster) as client context manager in every test.
   • Something else

[trivialfis]

I'd be happy to give this a go,

Thank you for investigating this!

The main component is creating a cluster fixture that lives throughout the tests. What should the client be

I prefer with Client() as client to client = Client(). But a client fixture seems to be much simpler if it works, also it avoids running out of file descriptors. So out of the 4 options you have provided, my preference is 1 > 3 > 2. WDYT?

[trivialfis]

Closing since the bottleneck is hypothesis tests. Thanks for the PR @jmoralez