Update versions of outdated GHA (#3640)

Author: abravalheri

.github/workflows/main.yml

@@ -131,9 +131,9 @@ jobs:
     runs-on: ${{ matrix.platform }}
     timeout-minutes: 75
     steps:
-      - uses: actions/checkout@v2
+      - uses: actions/checkout@v3
       - name: Install Cygwin with Python
-        uses: cygwin/cygwin-install-action@v1
+        uses: cygwin/cygwin-install-action@v2
         with:
           platform: x86_64
           packages: >-
@@ -187,13 +187,13 @@ jobs:
     runs-on: ubuntu-latest
     timeout-minutes: 75
     steps:
-      - uses: actions/checkout@v2
+      - uses: actions/checkout@v3
       - name: Install OS-level dependencies
         run: |
           sudo apt-get update
           sudo apt-get install build-essential gfortran libopenblas-dev
       - name: Setup Python
-        uses: actions/setup-python@v2
+        uses: actions/setup-python@v4
         with:
           # Use a release that is not very new but still have a long life:
           python-version: "3.8"