create buffer for gradients and hessians with goss and customized objective (fixes #3243) (#3263)

* fix bug for GOSS with customized objective (fixes #3243)

* Apply suggestions from code review
Co-authored-by: Guolin Ke <guolin.ke@outlook.com>

src/boosting/goss.hpp

@@ -36,6 +36,12 @@ class GOSS: public GBDT {
             const std::vector<const Metric*>& training_metrics) override {
     GBDT::Init(config, train_data, objective_function, training_metrics);
     ResetGoss();
+    if (objective_function_ == nullptr) {
+      // use customized objective function
+      size_t total_size = static_cast<size_t>(num_data_) * num_tree_per_iteration_;
+      gradients_.resize(total_size, 0.0f);
+      hessians_.resize(total_size, 0.0f);
+    }
   }
 
   void ResetTrainingData(const Dataset* train_data, const ObjectiveFunction* objective_function,
@@ -49,6 +55,23 @@ class GOSS: public GBDT {
     ResetGoss();
   }
 
+  bool TrainOneIter(const score_t* gradients, const score_t* hessians) override {
+    if (gradients != nullptr) {
+      // use customized objective function
+      CHECK(hessians != nullptr && objective_function_ == nullptr);
+      size_t total_size = static_cast<size_t>(num_data_) * num_tree_per_iteration_;
+      #pragma omp parallel for schedule(static)
+      for (size_t i = 0; i < total_size; ++i) {
+        gradients_[i] = gradients[i];
+        hessians_[i] = hessians[i];
+      }
+      return GBDT::TrainOneIter(gradients_.data(), hessians_.data());
+    } else {
+      CHECK(hessians == nullptr);
+      return GBDT::TrainOneIter(nullptr, nullptr);
+    }
+  }
+
   void ResetGoss() {
     CHECK_LE(config_->top_rate + config_->other_rate, 1.0f);
     CHECK(config_->top_rate > 0.0f && config_->other_rate > 0.0f);