Updated macos tests.

Author: antoinecarme

.github/workflows/python-app-no-gil-macos.yml

@@ -29,6 +29,7 @@ jobs:
             uname -a
     - name: Install dependencies
       run: |
+        brew install libomp
         python -m pip install --upgrade pip
         pip install flake8 pytest xgboost
         pip install -r requirements.txt