stop vendoring sphinx-gallery

[amueller]

I really think we should not vendor sphinx-gallery. It created a whole host of problems for trying to do the 0.18.2 release. I don't really see a benefit in vendoring it, given that we can always pin the version in the CI.

We could even require a particular version in our conf.py, but the version of sphinxgallery you need is much more dependent on the version of sphinx then the version of scikit-learn.
Since we don't vendor sphinx (and we really shouldn't), vendoring sphinxgallery will break things.

[jmschrei]

What does vendoring it mean? Is this only used if you want to build the documentation locally?

[glemaitre]

What does vendoring it mean? Is this only used if you want to build the documentation locally?

scikit-learn doc is configured to use the bundled sphinx-gallery -> https://github.com/scikit-learn/scikit-learn/tree/master/doc/sphinxext

The same way we do it with joblib.

[amueller]

sphinx will break sphinx-gallery again in the next sphinx release, see sphinx-gallery/sphinx-gallery#270, which means at the next release of sphinx, 0.19 docs will not build any more if we decide to vendor again.