[docs] add lightgbm_ray to docs (#4584)

* [docs] add lightgbm_ray to docs

* add docs link

* Apply suggestions from code review
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* move Ray

* Update docs/Parallel-Learning-Guide.rst
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Nikita Titov <nekit94-12@hotmail.com>

README.md

@@ -97,6 +97,8 @@ Kubeflow Fairing (LightGBM on Kubernetes): https://github.com/kubeflow/fairing
 
 Kubeflow Operator (LightGBM on Kubernetes): https://github.com/kubeflow/xgboost-operator
 
+lightgbm_ray (LightGBM on Ray): https://github.com/ray-project/lightgbm_ray
+
 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

@@ -451,6 +451,17 @@ Example
 
 -  `A simple distributed learning example`_
 
+Ray
+^^^
+
+`Ray`_ is a Python-based framework for distributed computing. The `lightgbm_ray`_ project, maintained within the official Ray GitHub organization, can be used to perform distributed LightGBM training using ``ray``.
+
+See `the lightgbm_ray documentation`_ for usage examples.
+
+.. note::
+
+  ``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.
+
 .. _Dask: https://docs.dask.org/en/latest/
 
 .. _SynapseML: https://aka.ms/spark
@@ -482,3 +493,9 @@ Example
 .. _here: https://www.youtube.com/watch?v=iqzXhp5TxUY
 
 .. _A simple distributed learning example: https://github.com/microsoft/lightgbm/tree/master/examples/parallel_learning
+
+.. _lightgbm_ray: https://github.com/ray-project/lightgbm_ray
+
+.. _Ray: https://ray.io/
+
+.. _the lightgbm_ray documentation: https://docs.ray.io/en/latest/lightgbm-ray.html