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[python-package] fix access to Dataset metadata in scikit-learn custom metrics and objectives (#6108)

* 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>

[python-package] adding max_category_values parameter to create_tree_digraph method (fixes #5687) (#5818)

* 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

[python-packages] [docs] add type hints and define 'array-like' for X, y, group in scikit-learn interface (#5757)

* add cuda quantile regression objective

* remove white space

* resolve merge conflicts

* remove useless changes

* remove useless changes

* enable cuda quantile regression objective

* add a test case for quantile regression objective

* remove useless changes

* remove useless changes

* reduce DP_SHARED_HIST_SIZE to 5176 for CUDA 10

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

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

* [ci] speed up if-else, swig, and lint conda setup

* add 'source activate'

* python constraint

* start removing cuda v1

* comment out CI

* remove more references

* revert some unnecessaary changes

* revert a few more mistakes

* revert another change that ignored params

* sigh

* remove CUDATreeLearner

* fix tests, docs

* fix quoting in setup.py

* restore all CI

* Apply suggestions from code review
Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>

* Apply suggestions from code review

* completely remove cuda_exp, update docs

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

* add parameter data_sample_strategy

* abstract GOSS as a sample strategy(GOSS1), togetherwith origial GOSS (Normal Bagging has not been abstracted, so do NOT use it now)

* abstract Bagging as a subclass (BAGGING), but original Bagging members in GBDT are still kept

* fix some variables

* remove GOSS(as boost) and Bagging logic in GBDT

* rename GOSS1 to GOSS(as sample strategy)

* add warning about use GOSS as boosting_type

* a little ; bug

* remove CHECK when "gradients != nullptr"

* rename DataSampleStrategy to avoid confusion

* remove and add some ccomments, followingconvention

* fix bug about GBDT::ResetConfig (ObjectiveFunction inconsistencty bet…

* add std::ignore to avoid compiler warnings (anpotential fails)

* update Makevars and vcxproj

* handle constant hessian

move resize of gradient vectors out of sample strategy

* mark override for IsHessianChange

* fix lint errors

* rerun parameter_generator.py

* update config_auto.cpp

* delete redundant blank line

* update num_data_ when train_data_ is updated

set gradients and hessians when GOSS

* check bagging_freq is not zero

* reset config_ value

merge ResetBaggingConfig and ResetGOSS

* remove useless check

* add ttests in test_engine.py

* remove whitespace in blank line

* remove arguments verbose_eval and evals_result

* Update tests/python_package_test/test_engine.py

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

* Update tests/python_package_test/test_engine.py

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

* Update tests/python_package_test/test_engine.py

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

* Update tests/python_package_test/test_engine.py

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

* Update tests/python_package_test/test_engine.py

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

* Update tests/python_package_test/test_engine.py

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

* Update src/boosting/sample_strategy.cpp

modify warning about setting goss as `boosting_type`
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update tests/python_package_test/test_engine.py

replace load_boston() with make_regression()

remove value checks of mean_squared_error in test_sample_strategy_with_boosting()

* Update tests/python_package_test/test_engine.py

add value checks of mean_squared_error in test_sample_strategy_with_boosting()

* Modify warnning about using goss as boosting type

* Update tests/python_package_test/test_engine.py

add random_state=42 for make_regression()

reduce the threshold of mean_square_error

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

* remove goss from boosting types in documentation

* Update src/boosting/bagging.hpp
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Update src/boosting/bagging.hpp
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Update src/boosting/goss.hpp
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Update src/boosting/goss.hpp
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* rename GOSS with GOSSStrategy

* update doc

* address comments

* fix table in doc

* Update include/LightGBM/config.h
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* update documentation

* update test case

* revert useless change in test_engine.py

* add tests for evaluation results in test_sample_strategy_with_boosting

* include <string>

* change to assert_allclose in test_goss_boosting_and_strategy_equivalent

* more tolerance in result checking, due to minor difference in results of gpu versions

* change == to np.testing.assert_allclose

* fix test case

* set gpu_use_dp to true

* change --report to --report-level for rstcheck

* use gpu_use_dp=true in test_goss_boosting_and_strategy_equivalent

* revert unexpected changes of non-ascii characters

* revert unexpected changes of non-ascii characters

* remove useless changes

* allocate gradients_pointer_ and hessians_pointer when necessary

* add spaces

* remove redundant virtual

* include <LightGBM/utils/log.h> for USE_CUDA

* check for  in test_goss_boosting_and_strategy_equivalent

* check for identity in test_sample_strategy_with_boosting

* remove cuda  option in test_sample_strategy_with_boosting

* Update tests/python_package_test/test_engine.py
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Update tests/python_package_test/test_engine.py
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* ResetGradientBuffers after ResetSampleConfig

* ResetGradientBuffers after ResetSampleConfig

* ResetGradientBuffers after bagging

* remove useless code

* check objective_function_ instead of gradients

* enable rf with goss

simplify params in test cases

* remove useless changes

* allow rf with feature subsampling alone

* change position of ResetGradientBuffers

* check for dask

* add parameter types for data_sample_strategy
Co-authored-by: Guangda Liu <v-guangdaliu@microsoft.com>
Co-authored-by: Yu Shi <shiyu_k1994@qq.com>
Co-authored-by: GuangdaLiu <90019144+GuangdaLiu@users.noreply.github.com>
Co-authored-by: James Lamb <jaylamb20@gmail.com>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>