no omp_set_nested (#2734)

* no omp_set_nested

* Update openmp_wrapper.h

include/LightGBM/utils/openmp_wrapper.h

@@ -62,7 +62,6 @@ catch(...) { omp_except_helper.CaptureException();  }
       simulate a single thread running.
       All #pragma omp should be ignored by the compiler **/
   inline void omp_set_num_threads(int) {}
-  inline void omp_set_nested(int) {}
   inline int omp_get_num_threads() {return 1;}
   inline int omp_get_thread_num() {return 0;}
 #ifdef __cplusplus

src/application/application.cpp

@@ -38,7 +38,6 @@ Application::Application(int argc, char** argv) {
   if (config_.data.size() == 0 && config_.task != TaskType::kConvertModel) {
     Log::Fatal("No training/prediction data, application quit");
   }
-  omp_set_nested(0);
 }
 
 Application::~Application() {