[DOC] docs break with new sphinx

[wdevazelhes]

See comment #258 (comment).

When building with the new sphinx version (2.1.1), references does not display prettily, though it works with some previous versions like 1.8, we should either make it work with the new version (preferably I guess), or add in the documentation which version to use

[terrytangyuan]

I agree that making it work with the new version would be preferred since there is a major upgrade of sphinx.

[bellet]

Fixed in #265