[docs] add Mars to docs (#4616)

* Update README.md

* Update Parallel-Learning-Guide.rst

* Update README.md

* Update docs/Parallel-Learning-Guide.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>
Co-authored-by: James Lamb <jaylamb20@gmail.com>

README.md

@@ -99,6 +99,8 @@ Kubeflow Operator (LightGBM on Kubernetes): https://github.com/kubeflow/xgboost-
 
 lightgbm_ray (LightGBM on Ray): https://github.com/ray-project/lightgbm_ray
 
+Mars (LightGBM on Mars): https://github.com/mars-project/mars
+
 ML.NET (.NET/C#-package): https://github.com/dotnet/machinelearning
 
 LightGBM.NET (.NET/C#-package): https://github.com/rca22/LightGBM.Net

docs/Parallel-Learning-Guide.rst

@@ -462,6 +462,17 @@ See `the lightgbm_ray documentation`_ for usage examples.
 
   ``lightgbm_ray`` is not maintained by LightGBM's maintainers. Bug reports or feature requests should be directed to https://github.com/ray-project/lightgbm_ray/issues.
 
+Mars
+^^^^
+
+`Mars`_ is a tensor-based framework for large-scale data computation. LightGBM integration, maintained within the Mars GitHub repository, can be used to perform distributed LightGBM training using ``pymars``.
+
+See `the mars documentation`_ for usage examples.
+
+.. note::
+
+  ``Mars`` is not maintained by LightGBM's maintainers. Bug reports or feature requests should be directed to https://github.com/mars-project/mars/issues.
+
 .. _Dask: https://docs.dask.org/en/latest/
 
 .. _SynapseML: https://aka.ms/spark
@@ -499,3 +510,7 @@ See `the lightgbm_ray documentation`_ for usage examples.
 .. _Ray: https://ray.io/
 
 .. _the lightgbm_ray documentation: https://docs.ray.io/en/latest/lightgbm-ray.html
+
+.. _Mars: https://docs.pymars.org/en/latest/index.html
+
+.. _the mars documentation: https://docs.pymars.org/en/latest/user_guide/learn/lightgbm.html