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

* dump sorted parameter aliases

* update lgb.check.wrapper_param

* update _choose_param_value to look like lgb.check.wrapper_param

* apply suggestions from review

* reduce diff

* move DumpAliases to config

* remove unnecessary check

* restore parameter check

[R-package] raise an informative error when custom objective produces incorrect output (fixes #5323) (#5329)

* switch to single prediction type argument

* linter

* missing piece of code

* comments

* linter

* fix test

* revert incorrect 'fix'

* fix failing test

* fix test again

* modify recently introduced tests after changes here

* rename prediction types

* rebase

* restore tests for prediction type in params

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

[ci] [R-package] Add paste_linter (#5303)

* Add duplicate_argument_linter

* Add duplicate_argument_linter

* added acomment for duplicate argument

* Update R-package/tests/testthat/test_utils.R
Co-authored-by: José Morales <jmoralz92@gmail.com>
Co-authored-by: José Morales <jmoralz92@gmail.com>

* 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] stop automatically calculating eval metrics on training data in lightgbm()

* update docs

* update docs

* roxygen cares about line breaks

* allow using feature names when retrieving number of bins

* unname vector

* use default feature names when not defined

* lint

* apply suggestions

* remove extra comma

* add test with categorical feature

* make feature names sync more transparent

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

* update version reference