CI cache data directory (#878)

Author: glemaitre

build_tools/azure/posix.yml

@@ -20,6 +20,7 @@ jobs:
     OPENBLAS_NUM_THREADS: '2'
     CPU_COUNT: '2'
     SKLEARN_SKIP_NETWORK_TESTS: '1'
+    SKLEARN_DATA_DIR: $(System.DefaultWorkingDirectory)/scikit_learn_data
     CCACHE_DIR: $(Pipeline.Workspace)/ccache
     CCACHE_COMPRESS: '1'
     NUMPY_VERSION: 'latest'
@@ -49,6 +50,12 @@ jobs:
     - bash: sudo chown -R $USER $CONDA
       displayName: Take ownership of conda installation
       condition: startsWith(variables['DISTRIB'], 'conda')
+    - task: Cache@2
+      inputs:
+        key: '"$(Agent.JobName)"'
+        path: $(SKLEARN_DATA_DIR)
+      displayName: Dataset caching
+      continueOnError: true
     - task: Cache@2
       inputs:
         key: '"$(Agent.JobName)"'