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

* add predcontrib for sparse inputs

* register newly-added function

* comments

* correct wrong types in test

* forcibly take transpose function from Matrix

* keep row names, test comparison to dense inputs

* workaround for passing test while PR for row names is not merged

* Update R-package/R/lgb.Predictor.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/lgb.Predictor.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/lgb.Predictor.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* proper handling of integer overflow

* add test for CSR contrib row names

* add more tests for predict(<sparse>, predcontrib=TRUE)

* make linter happy

* linter

* linter

* check error messages for bad input shapes

* fix regex

* hard-coded number of columns in regex for tests
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* [R-package] remove lgb.unloader()

* update version reference

[R-package] Promote number of threads to top-level argument in `lightgbm()` and change default to number of cores (#4972)

* [R-package] remove Dataset getinfo()

* fix docs

* [R-package] remove Dataset setinfo()

* revert unintended docs changes

* fix examples

* revert FAQ changes

* empty commit

[R-package] enable saving Booster with saveRDS() and loading it with readRDS() (fixes #4296) (#4685)

* idiomatic serialization

* linter

* linter, namespace

* comments, linter, fix failing test

* standardize error messages for null handles

* auto-restore handle in more functions

* linter

* missing declaration

* correct wrong signature

* fix docs

* Update R-package/R/lgb.train.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/lgb.drop_serialized.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/lgb.restore_handle.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/lgb.restore_handle.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/lgb.make_serializable.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* move 'restore_handle' from feature importance to dump method

* missing header

* move arguments order, update docs

* linter

* avoid leaving files in working directory

* add test for save_model=NULL

* missing comma

* Update R-package/R/lgb.restore_handle.R
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/lightgbm_R.cpp
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* change name of error function

* update comment

* restore old serialization functions but set as deprecated

* Update R-package/R/readRDS.lgb.Booster.R
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/R/saveRDS.lgb.Booster.R
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* update docs

* Update R-package/R/readRDS.lgb.Booster.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/saveRDS.lgb.Booster.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/tests/testthat/test_basic.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/R/readRDS.lgb.Booster.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* comments

* fix variable name

* restore serialization test for linear models

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

* update docs

* fix issues with null terminator
Co-authored-by: James Lamb <jaylamb20@gmail.com>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* add print and summary S3 method

* correct wrong signature

* attempt at bypassing linter

* Update R-package/R/lgb.Booster.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update R-package/src/lightgbm_R.h
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Update include/LightGBM/c_api.h
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* add more tests

* linter

* don't pluralize single tree

* remove duplicated function

* update changed function name

* missing declaration

* Update lightgbm_R.h

* Update R-package/tests/testthat/test_lgb.Booster.R
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* accommodate custom objectives in print

* linter

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

* [R-package] introduce Dataset set_field() and get_field()

* fix incorrect fields

* update pkgdown

* fix example

* fix another example

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

* update docs
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* [R-package] add deprecation warnings on uses of '...' in predict()

* add importFrom(utils, modifyList) in NAMESPACE

* [R-package] improvements to lgb.convert() functions (fixes #2678, #2681)

* more stuff

* update docs

* remove lgb.convert()

* put internal functions back

* update index

* [R-package] deprecate lgb.prepare() and lgb.prepare2()

* linting

* renaming

* updated docs

* linting

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

* one more comment fix

* remove comment about int being dangerous

* empty commit
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* first test of appveyor

* strings are strings

* lil bit of build script

* fixing paths

* removed unnecessary file

* updated CRAN URL

* added a lot more printing

* fixing paths

* more stuff

* fixed paths

* more stuff

* more path guessing

* even more paths

* more stuff

* moar logz

* and now for something totally different

* please work

* ok could be a thing

* changing directories

* we might be in business

* fixed install syntax

* tryinv mingw

* more mingw

* ignore Suggests check

* trying Azure DevOps

* just run bare minimum for Azure DevOps

* fixed  build dir thing

* trying to set libPaths

* more testing

* trying R 3.6.3

* R 3.6.3

* this feels right

* still messing around with libraries

* more paths

* removed duplication in Windows testing code

* simpler

* fixed conda stuff

* more conda stuff

* more fixes

* fixed testing script

* moved AppVeyor setup to the top

* commenting

* ch-ch-ch-ch-chaaaanges

* paths

* plz work

* fixed conda stuff in Windows CI

* uncommented stuff to test a full build

* fixed quotes and removed some unnecessary stuff

* added install.libs.R change

* quotes are impoortant

* added commented-out stuff back in

* added Windows script, download retries, and MSVC linking

* minor fixes

* cleaned up debugging code in FindLibR

* cleaned up debugging code and moved R first in CI

* fixed vsts-ci indentation

* cut documentation stuff out of MSVC build

* fix R CMD check for Azure

* misc whitespace changes

* Added echoing of build logs from R CMD check

* cut out more documentation tests

* fixed NOTE about imports from Matrix

* moved some changes out of this PR and into #2963

* fixed whitespace stuff

* added check on number of NOTES

* adding better checks

* fixing check on NOTEs

* removing unnecessary variable

* Update .ci/test_r_package_windows.ps1
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* some changes

* fix quoting

* trying MINGW on Azure DevOps

* fixing paths

* more paths

* fixing paths

* testing paths

* fixing slashes

* pinned CTAN mirror

* get better logs

* made sure Azure finds MinGW, fixed search for LIBR_CORE_LIBRARY, stopped building R docs on Azure

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

* added CXX, CC for Windows builds and changed back to building docs on all MINGW builds

* stored LIBR_CORE_LIBRARY hints in one variable

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

* changes from code review

* increased parallel builds for Azure CI

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

* [R-package] made roxygen2 tags explicit and cleaned up documentation

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

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

* Update R-package/man/lightgbm.Rd
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* [R-package] moved @name to the top of roxygen blocks and removed some inaccurate information in documentation on parameters
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fixed typos in docs

* Fixed inconsistencies in documentation

* Updated strategy for registering routines

* Fixed issues caused by smashing multiple functions into one Rd

* Fixed issues with documentation

* Removed VignetteBuilder and updated Rbuildignore

* Added R build artefacts to gitignore

* Added namespacing on data.table set function. Updated handling of CMakeLists file to get around CRAN check.

* Updated build instructions

* Added R build script

* Removed build_r.sh script and updated R-package install instructions

* Fixed misc CRAN issues

* Added additional details to R-package DESCRIPTION

* add R's library file to vs project and cmake.

* support using dll built by vs.

* better search for the library file.

* remove mingw related doc .

* update document.

* Let R handle the library compile.

* try fix build from github.

* Update README.md

* cleaner build.

* fix the install problem in linux.

* Update README.md

* Add lgb.prepare

* Update roxygen to 6.0.1 and add lgb.prepare

* Add prepared rules.

* Add recommendation when needing rules for transformation.

* Define environment in examples (xgboost clash)

* Large R code changes

* Update lgb.Booster.R

* Add saveRDS (manual)

* Add documentation

* Change arguments passed from debug.

* Add readRDS, change way of saving.

* Change documentation.

* Add better documentation.

* Add lgb.Booster parsing function

* Add data.table, magrittr, jsonlite to Imports

* finish R's c_api

* clean code

* fix sizeof pointer in 32bit system.

* add predictor class

* add Dataset class

* format code

* add booster

* add type check for expose function

* add a simple callback

* add all callbacks

* finish the basic training logic

* update docs

* add an simple training interface

* add basic test

* adapt the changes in c_api

* add test for Dataset

* add test for custom obj/eval functions

* fix python test

* fix bug in metadata init

* fix R CMD check