title: XGBRegressor: change random_state no effect
body: <p>the <code>xgboost.XGBRegressor</code> seems to produce the same results despite the fact a new random seed is given.</p>
  <p>According to the <code>xgboost</code> documentation <a href="https://xgboost.readthedocs.io/en/latest/python/python_api.html#module-xgboost.sklearn" rel="noreferrer"><code>xgboost.XGBRegressor</code></a>:</p>
  <blockquote>
  <p>seed : int Random number seed. (Deprecated, please use random_state)</p>
  <p>random_state : int Random number seed. (replaces seed)</p>
  </blockquote>
  <p><code>random_state</code> is the one to be used, however, no matter what <code>random_state</code> or <code>seed</code> I use, the model produce the same results. A Bug?</p>
  <pre><code>from xgboost import XGBRegressor
  from sklearn.datasets import load_boston
  import numpy as np
  from itertools import product
  
  def xgb_train_predict(random_state=0, seed=None):
      X, y = load_boston(return_X_y=True)
      xgb = XGBRegressor(random_state=random_state, seed=seed)
      xgb.fit(X, y)
      y_ = xgb.predict(X)
      return y_
  
  check = xgb_train_predict()
  
  random_state = [1, 42, 58, 69, 72]
  seed = [None, 2, 24, 85, 96]
  
  for r, s in product(random_state, seed):
      y_ = xgb_train_predict(r, s)
      assert np.equal(y_, check).all()
      print('CHECK! \t random_state: {} \t seed: {}'.format(r, s))
  
  [Out]:
      CHECK!   random_state: 1     seed: None
      CHECK!   random_state: 1     seed: 2
      CHECK!   random_state: 1     seed: 24
      CHECK!   random_state: 1     seed: 85
      CHECK!   random_state: 1     seed: 96
      CHECK!   random_state: 42    seed: None
      CHECK!   random_state: 42    seed: 2
      CHECK!   random_state: 42    seed: 24
      CHECK!   random_state: 42    seed: 85
      CHECK!   random_state: 42    seed: 96
      CHECK!   random_state: 58    seed: None
      CHECK!   random_state: 58    seed: 2
      CHECK!   random_state: 58    seed: 24
      CHECK!   random_state: 58    seed: 85
      CHECK!   random_state: 58    seed: 96
      CHECK!   random_state: 69    seed: None
      CHECK!   random_state: 69    seed: 2
      CHECK!   random_state: 69    seed: 24
      CHECK!   random_state: 69    seed: 85
      CHECK!   random_state: 69    seed: 96
      CHECK!   random_state: 72    seed: None
      CHECK!   random_state: 72    seed: 2
      CHECK!   random_state: 72    seed: 24
      CHECK!   random_state: 72    seed: 85
      CHECK!   random_state: 72    seed: 96
  </code></pre>