Add back support for scipy.sparse.coo_matrix #6162
Merged
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See https://discuss.xgboost.ai/t/sparse-matrix-no-longer-supported-in-scikit-learn/1850?u=hcho3. Previous versions of XGBoost used to support the COO sparse matrix but the latest (1.2.0) does not support it.
This pull request restores the support.