[docs] document sanitizers (#4365)

* document sanitizers

* rephrase

docs/Development-Guide.rst

@@ -80,6 +80,7 @@ Tests
 
 C++ unit tests are located in the ``./tests/cpp_tests`` folder and written with the help of Google Test framework.
 To run tests locally first refer to the `Installation Guide <./Installation-Guide.rst#build-c-unit-tests>`__ for how to build tests and then simply run compiled executable file.
+It is highly recommended to build tests with `sanitizers <./Installation-Guide.rst#sanitizers>`__.
 
 High Level Language Package
 ---------------------------

docs/Installation-Guide.rst

@@ -13,6 +13,21 @@ Users who want to perform benchmarking can make LightGBM output time costs for d
 
 It is possible to build LightGBM in debug mode. In this mode all compiler optimizations are disabled and LightGBM performs more checks internally. To enable debug mode you can add ``-DUSE_DEBUG=ON`` to CMake flags or choose ``Debug_*`` configuration (e.g. ``Debug_DLL``, ``Debug_mpi``) in Visual Studio depending on how you are building LightGBM.
 
+.. _sanitizers:
+
+In addition to the debug mode, LightGBM can be built with compiler sanitizers.
+To enable them add ``-DUSE_SANITIZER=ON -DENABLED_SANITIZERS="address;leak;undefined"`` to CMake flags.
+These values refer to the following supported sanitizers:
+
+- ``address`` - AddressSanitizer (ASan);
+- ``leak`` - LeakSanitizer (LSan);
+- ``undefined`` - UndefinedBehaviorSanitizer (UBSan);
+- ``thread`` - ThreadSanitizer (TSan).
+
+Please note, that ThreadSanitizer cannot be used together with other sanitizers.
+For more info and additional sanitizers' parameters please refer to the `following docs`_.
+It is very useful to build `C++ unit tests <#build-c-unit-tests>`__ with sanitizers.
+
 .. _nightly-builds:
 
 You can also download the artifacts of the latest successful build on master branch (nightly builds) here: |download artifacts|.
@@ -914,3 +929,5 @@ gcc
 .. _SWIG: http://www.swig.org/download.html
 
 .. _this detailed guide: https://docs.nvidia.com/cuda/cuda-installation-guide-linux/index.html
+
+.. _following docs: https://github.com/google/sanitizers/wiki