[doc] better doc for `keep_training_booster` (#3275)

* [doc] better doc for `keep_training_booster`

* Update python-package/lightgbm/engine.py
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

python-package/lightgbm/engine.py

@@ -128,6 +128,7 @@ def train(params, train_set, num_boost_round=100,
     keep_training_booster : bool, optional (default=False)
         Whether the returned Booster will be used to keep training.
         If False, the returned value will be converted into _InnerPredictor before returning.
+        When your model is very large and cause the memory error, you can try to set this param to ``True`` to avoid the model conversion performed during the internal call of ``model_to_string``.
         You can still use _InnerPredictor as ``init_model`` for future continue training.
     callbacks : list of callables or None, optional (default=None)
         List of callback functions that are applied at each iteration.