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* added all necessary includes - fixed build/include_what_you_use error

* fixed the order of includes (build/include_order)

* Add configuration parameters for CEGB.

* Add skeleton CEGB tree learner

Like the original CEGB version, this inherits from SerialTreeLearner.
Currently, it changes nothing from the original.

* Track features used in CEGB tree learner.

* Pull CEGB tradeoff and coupled feature penalty from config.

* Implement finding best splits for CEGB

This is heavily based on the serial version, but just adds using the coupled penalties.

* Set proper defaults for cegb parameters.

* Ensure sanity checks don't switch off CEGB.

* Implement per-data-point feature penalties in CEGB.

* Implement split penalty and remove unused parameters.

* Merge changes from CEGB tree learner into serial tree learner

* Represent features_used_in_data by a bitset, to reduce the memory overhead of CEGB, and add sanity checks for the lengths of the penalty vectors.

* Fix bug where CEGB would incorrectly penalise a previously used feature

The tree learner did not update the gains of previously computed leaf splits when splitting a leaf elsewhere in the tree.
This caused it to prefer new features due to incorrectly penalising splitting on previously used features.

* Document CEGB parameters and add them to the appropriate section.

* Remove leftover reference to cegb tree learner.

* Remove outdated diff.

* Fix warnings

* Fix minor issues identified by @StrikerRUS.

* Add docs section on CEGB, including citation.

* Fix link.

* Fix CI failure.

* Add some unit tests

* Fix pylint issues.

* Fix remaining pylint issue

* Fix index out-of-range exception generated by BaggingHelper on small datasets.

Prior to this change, the line "score_t threshold = tmp_gradients[top_k - 1];" would generate an exception, since tmp_gradients would be empty when the cnt input value to the function is zero.

* Update goss.hpp

* Update goss.hpp

* Add API method LGBM_BoosterPredictForMats which runs prediction on a data set given as of array of pointers to rows (as opposed to existing method LGBM_BoosterPredictForMat which requires data given as contiguous array)

* Fix incorrect upstream merge

* Add link to LightGBM.NET

* Fix indenting to 2 spaces

* Dummy edit to trigger CI

* Dummy edit to trigger CI

* added API changes required for JNI performance optimizations (e.g. predict is 3-4x faster)

* removed commented variables

* removed commented header

* renamed method to make it obvious it is created for Spark

* fixed comment alignment

* replaced GetPrimitiveArrayCritical with GetIntArrayElements for training. fixed dead-lock on databricks

* Initial attempt to implement appending features in-memory to another data set

The intent is for this to enable munging files together easily, without needing to round-trip via numpy or write multiple copies to disk.
In turn, that enables working more efficiently with data sets that were written separately.

* Implement Dataset.dump_text, and fix small bug in appending of group bin boundaries.

Dumping to text enables us to compare results, without having to worry about issues like features being reordered.

* Add basic tests for validation logic for add_features_from.

* Remove various internal mapping items from dataset text dumps

These are too sensitive to the exact feature order chosen, which is not visible to the user.
Including them in tests appears unnecessary, as the data dumping code should provide enough coverage.

* Add test that add_features_from results in identical data sets according to dump_text.

* Add test that booster behaviour after using add_features_from matches that of training on the full data

This checks:
- That training after add_features_from works at all
- That add_features_from does not cause training to misbehave

* Expose feature_penalty and monotone_types/constraints via get_field

These getters allow us to check that add_features_from does the right thing with these vectors.

* Add tests that add_features correctly handles feature_penalty and monotone_constraints.

* Ensure add_features_from properly frees the added dataset and add unit test for this

Since add_features_from moves the feature group pointers from the added dataset to the dataset being added to, the added dataset is invalid after the call.
We must ensure we do not try and access this handle.

* Remove some obsolete TODOs

* Tidy up DumpTextFile by using a single iterator for each feature

This iterators were also passed around as raw pointers without being freed, which is now fixed.

* Factor out offsetting logic in AddFeaturesFrom

* Remove obsolete TODO

* Remove another TODO

This one is debatable, test code can be a bit messy and duplicate-heavy, factoring it out tends to end badly.
Leaving this for now, will revisit if adding more tests later on becomes a mess.

* Add documentation for newly-added methods.

* Fix whitespace issues identified by pylint.

* Fix a few more whitespace issues.

* Fix doc comments

* Implement deep copying for feature groups.

* Replace awkward std::move usage by emplace_back, and reduce vector size to num_features rather than num_total_features.

* Copy feature groups in addFeaturesFrom, rather than moving them.

* Fix bugs in FeatureGroup copy constructor and ensure source dataset remains usable

* Add reserve to PushVector and PushOffset

* Move definition of Clone into class body

* Fix PR review issues

* Fix for loop increment style.

* Fix test failure

* Some more docstring fixes.

* Remove blank line

[docs] added notes about params usage when data is provided via path and removed unused param (#2024)

* added notes about params usage when data is provided via path

* fixed init score and valid init score params note

* fixed binary params description

* always save the score of the first round in early stopping

fix #1971

* avoid using std::log on non-positive numbers

* remove unnecessary changes

* add tests

* Update test_sklearn.py

* enhanced tests

* add warnings for override parameters of Dataset

* fix pep8

* add feature_penalty

* refactor

* add R's code

* Update basic.py

* Update basic.py

* fix parameter bug

* Update lgb.Dataset.R

* fix a bug

* fixed minor typos in documentation

* fixed typo in gpu_tree_learner.cpp

* Update .gitignore

* removed comparison warning

* fixed spacing

File: [LightGBM//src/io/dataset.cpp]
Function: [138:FastFeatureBundling(...)]

Reserving vectors where we already know the size to save on reallocation costs.

Also removed a variable that was unnecessary.

When loading a binary file, take feature penalty and monotone constraints from config if given there. (#1881)

* When loading a binary file, take feature penalty from config if given there.

* When loading a binary file, take feature penalty from config if given there.

* Fix crash when num_features != num_total_features and feature_contri is given.

* Apply the same logic to monotone_types_.

* Fix indentation

* fix RF's bugs

* fix tests

* rollback num_iterations

* fix a bug and reduce memory costs

* reduce memory cost

Init has been updated to allow for feature_fraction == 1.0f but the change has not been copyed in the ResetConfig function.

* [CPP] disable early stopping in dart

* fix compile error

* Fix index out-of-range exception generated by BaggingHelper on small datasets.

Prior to this change, the line "score_t threshold = tmp_gradients[top_k - 1];" would generate an exception, since tmp_gradients would be empty when the cnt input value to the function is zero.

* Update goss.hpp

* Update goss.hpp

* renamed helper folder to helpers

* added library dependencies check

* quick fix for better understanding

* update document for forced split

* typo fix

* made NOTE bold

* made Note bold