fix loky/concurrency issue

[mfeurer]

Should fix issue of kind which are there because the directory which should contain the log files does not exist yet...

self = <joblib.executor.MemmappingExecutor object at 0x7f41d3ea8f10>
fn = <joblib._parallel_backends.SafeFunction object at 0x7f41c093f250>
args = (), kwargs = {}

    def submit(self, fn, *args, **kwargs):
        with self._flags.shutdown_lock:
            if self._flags.broken is not None:
>               raise self._flags.broken
E               joblib.externals.loky.process_executor.BrokenProcessPool: A task has failed to un-serialize. Please ensure that the arguments of the function are all picklable.

/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/externals/loky/process_executor.py:1102: BrokenProcessPool
------------------------------ Captured log call -------------------------------
ERROR    concurrent.futures:_base.py:627 exception calling callback for <Future at 0x7f41c0a318d0 state=finished raised BrokenProcessPool>
joblib.externals.loky.process_executor._RemoteTraceback: 
"""
Traceback (most recent call last):
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/externals/loky/process_executor.py", line 404, in _process_worker
    call_item = call_queue.get(block=True, timeout=timeout)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/multiprocessing/queues.py", line 113, in get
    return _ForkingPickler.loads(res)
  File "/home/runner/work/openml-python/openml-python/openml/__init__.py", line 20, in <module>
    from . import _api_calls
  File "/home/runner/work/openml-python/openml-python/openml/_api_calls.py", line 15, in <module>
    from . import config
  File "/home/runner/work/openml-python/openml-python/openml/config.py", line 341, in <module>
    _setup()
  File "/home/runner/work/openml-python/openml-python/openml/config.py", line 235, in _setup
    _create_log_handlers()
  File "/home/runner/work/openml-python/openml-python/openml/config.py", line 41, in _create_log_handlers
    log_path, maxBytes=one_mb, backupCount=1, delay=True
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/logging/handlers.py", line 148, in __init__
    BaseRotatingHandler.__init__(self, filename, mode, encoding, delay)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/logging/handlers.py", line 55, in __init__
    logging.FileHandler.__init__(self, filename, mode, encoding, delay)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/logging/__init__.py", line 1077, in __init__
    self.baseFilename = os.path.abspath(filename)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/posixpath.py", line 383, in abspath
    cwd = os.getcwd()
FileNotFoundError: [Errno 2] No such file or directory
"""

The above exception was the direct cause of the following exception:

Traceback (most recent call last):
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/externals/loky/_base.py", line 625, in _invoke_callbacks
    callback(self)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/parallel.py", line 359, in __call__
    self.parallel.dispatch_next()
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/parallel.py", line 792, in dispatch_next
    if not self.dispatch_one_batch(self._original_iterator):
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/parallel.py", line 859, in dispatch_one_batch
    self._dispatch(tasks)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/parallel.py", line 777, in _dispatch
    job = self._backend.apply_async(batch, callback=cb)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/_parallel_backends.py", line 531, in apply_async
    future = self._workers.submit(SafeFunction(func))
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/externals/loky/reusable_executor.py", line 178, in submit
    fn, *args, **kwargs)
  File "/opt/hostedtoolcache/Python/3.7.10/x64/lib/python3.7/site-packages/joblib/externals/loky/process_executor.py", line 1102, in submit
    raise self._flags.broken
joblib.externals.loky.process_executor.BrokenProcessPool: A task has failed to un-serialize. Please ensure that the arguments of the function are all picklable.

[mfeurer]

Failures are only due to the test server being flaky and the unit test output fail not being there.