That prevents other processes from deleting this dir while it is still empty,
before the files are created in it.
That problem caused intermittent failure of some tests.

problem, but ... it could have been?

This is to remove most of error about deleted file in the buildbot. It don't solve the problem if a process run for more then 1 week.

make the import of theano.sparse work with an empty module if scipy is not available.
Make sparse test skipped if scipy not available.