fix (#2751)

Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

src/treelearner/cost_effective_gradient_boosting.hpp

@@ -70,10 +70,13 @@ class CostEfficientGradientBoosting {
         if (i == best_leaf) continue;
         auto split = &splits_per_leaf_[static_cast<size_t>(i) * train_data->num_features() + inner_feature_index];
         split->gain += config->cegb_tradeoff * config->cegb_penalty_feature_coupled[best_split_info->feature];
-        if (*split > ref_best_split_per_leaf[i])
+        // Avoid to update the leaf that cannot split
+        if (ref_best_split_per_leaf[i].gain > kMinScore &&
+            *split > ref_best_split_per_leaf[i]) {
           ref_best_split_per_leaf[i] = *split;
         }
       }
+    }
     if (!config->cegb_penalty_feature_lazy.empty()) {
       data_size_t cnt_leaf_data = 0;
       auto tmp_idx = tree_learner_->data_partition_->GetIndexOnLeaf(best_leaf, &cnt_leaf_data);