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[python-package] respect 'verbose' setting when using custom objective function (fixes #6014) (#6428)

* [python-package] Allow to pass early stopping min delta in params

* Fix test

* Add separate test

* Fix

* Add to cpp config

* Adjust test

* Adjust test

* Debug

* Revert

* Apply suggestions from code review

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Co-authored-by: James Lamb <jaylamb20@gmail.com>

* support quantized training with categorical features on cpu

* remove white spaces

* add tests for quantized training with categorical features

* skip tests for cuda version

* fix cases when only 1 data block in row-wise quantized histogram construction with 8 inner bits

* remove useless capture

* fix compilation warnings

revert useless changes

* revert useless change

* separate functions in feature histogram into cpp file

* add feature_histogram.o in Makevars

* ENH more stable gradient of CrossEntropy

* FIX missing }

* FIX index score

* FIX missing parenthesis in hessian

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Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>

* solve 'bin size 257 cannot run on GPU #3339'

https://github.com/microsoft/LightGBM/issues/3339#issuecomment-1665131743



* fix  typo LeafIndex -> leaf_index

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Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>
Co-authored-by: James Lamb <jaylamb20@gmail.com>

[R-package] [c++] add tighter multithreading control, avoid global OpenMP side effects (fixes #4705, fixes #5102) (#6226)

factor out uses of omp_get_num_threads() and omp_get_max_threads() outside of OpenMP wrapper (#6133)

* add quantized training (first stage)

* add histogram construction functions for integer gradients

* add stochastic rounding

* update docs

* fix compilation errors by adding template instantiations

* update files for compilation

* fix compilation of gpu version

* initialize gradient discretizer before share states

* add a test case for quantized training

* add quantized training for data distributed training

* Delete origin.pred

* Delete ifelse.pred

* Delete LightGBM_model.txt

* remove useless changes

* fix lint error

* remove debug loggings

* fix mismatch of vector and allocator types

* remove changes in main.cpp

* fix bugs with uninitialized gradient discretizer

* initialize ordered gradients in gradient discretizer

* disable quantized training with gpu and cuda

fix msvc compilation errors and warnings

* fix bug in data parallel tree learner

* make quantized training test deterministic

* make quantized training in test case more accurate

* refactor test_quantized_training

* fix leaf splits initialization with quantized training

* check distributed quantized training result

* add cuda gradient discretizer

* add quantized training for CUDA version in tree learner

* remove cuda computability 6.1 and 6.2

* fix parts of gpu quantized training errors and warnings

* fix build-python.sh to install locally built version

* fix memory access bugs

* fix lint errors

* mark cuda quantized training on cuda with categorical features as unsupported

* rename cuda_utils.h to cuda_utils.hu

* enable quantized training with cuda

* fix cuda quantized training with sparse row data

* allow using global memory buffer in histogram construction with cuda quantized training

* recover build-python.sh

enlarge allowed package size to 100M

* fix leaf splits update after split in quantized training

* fix preparation ordered gradients for quantized training

* remove force_row_wise in distributed test for quantized training

* Update src/treelearner/leaf_splits.hpp

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Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update dataset.h

* Update metadata.cpp

* Update rank_objective.hpp

* Update metadata.cpp

* Update rank_objective.hpp

* Update metadata.cpp

* Update dataset.h

* Update rank_objective.hpp

* Update metadata.cpp

* Update test_engine.py

* Update test_engine.py

* Add files via upload

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update _rank.train.position

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update _rank.train.position

* Update _rank.train.position

* Update test_engine.py

* Update _rank.train.position

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update the position of import statement

* Update rank_objective.hpp

* Update config.h

* Update config_auto.cpp

* Update rank_objective.hpp

* Update rank_objective.hpp

* update documentation

* remove extra blank line

* Update src/io/metadata.cpp
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update src/io/metadata.cpp
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* remove _rank.train.position

* add position in python API

* fix set_positions in basic.py

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update docs/Advanced-Topics.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update docs/Advanced-Topics.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* Update Advanced-Topics.rst

* remove List from _LGBM_PositionType

* move new position parameter to the last in Dataset constructor

* add position_filename as a parameter

* Update docs/Advanced-Topics.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update docs/Advanced-Topics.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update Advanced-Topics.rst

* Update src/objective/rank_objective.hpp
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update src/io/metadata.cpp
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update metadata.cpp

* Update python-package/lightgbm/basic.py
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update python-package/lightgbm/basic.py
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update python-package/lightgbm/basic.py
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update python-package/lightgbm/basic.py
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update src/io/metadata.cpp
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* more infomrative fatal message

address more comments

* update documentation for more flexible position specification

* fix SetPosition

add tests for get_position and set_position

* remove position_filename

* remove useless changes

* Update python-package/lightgbm/basic.py
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* remove useless files

* move position file when position set in Dataset

* warn when positions are overwritten

* skip ranking with position test in cuda

* split test case

* remove useless import

* Update test_engine.py

* Update test_engine.py

* Update test_engine.py

* Update docs/Advanced-Topics.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update Parameters.rst

* Update rank_objective.hpp

* Update config.h

* update config_auto.cppp

* Update docs/Advanced-Topics.rst
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* fix randomness in test case for gpu

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Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update regression_objective.hpp

* Update regression_objective.hpp

Maybe still need a (1.0 - alpha)

* fix position in percentile calculation

* fix regression metric threshold for l1

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Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>

* set gpu device id in open mp threads

* move SetCUDADevice outside for loop

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Co-authored-by: James Lamb <jaylamb20@gmail.com>

* add l1 metric for cuda_exp

* add huber/fair metric for cuda_exp

* add poisson/mape/gamma/gamma_deviance/tweedie  metrics for cuda_exp

* fix cpplint error

* fix return  error