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* 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

remove redundant whitespaces

* fix int64 write error

* attempt

* [WIP] [ci] [R-package] Add CI job that runs valgrind tests

* update all-successful

* install

* executable

* fix redirect stuff

* Apply suggestions from code review
Co-authored-by: Guolin Ke <guolin.ke@outlook.com>

* more flags

* add mc to msvc proj

* fix memory leak in mc

* Update monotone_constraints.hpp

* Update r_package.yml

* remove R_INT64_PTR

* disable openmp

* Update gbdt_model_text.cpp

* Update gbdt_model_text.cpp

* Apply suggestions from code review

* try to free vector

* free more memories.

* Update src/boosting/gbdt_model_text.cpp

* fix using

* try the UNPROTECT(1);

* fix a const pointer

* fix Common

* reduce UNPROTECT

* remove UNPROTECT(1);

* fix null handle

* fix predictor

* use NULL after free

* fix a leaking in test

* try more fixes

* test the effect of tests

* throw exception in Fatal

* add test back

* Apply suggestions from code review

* commet some tests

* Apply suggestions from code review

* Apply suggestions from code review

* trying to comment out tests

* Update openmp_wrapper.h

* Apply suggestions from code review

* Update configure

* Update configure.ac

* trying to uncomment

* more comments

* more uncommenting

* more uncommenting

* fix comment

* more uncommenting

* uncomment fully-commented out stuff

* try uncommenting more dataset tests

* uncommenting more tests

* ok getting closer

* more uncommenting

* free dataset

* skipping a test, more uncommenting

* more skipping

* re-enable OpenMP

* allow on OpenMP thing

* move valgrind to comment-only job

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

* changes from code review

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

* linting

* issue comments too

* remove issue_comment
Co-authored-by: Guolin Ke <guolin.ke@outlook.com>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* No need to pass the tree to all fuctions related to monotone constraints because the pointer is shared.

* Fix OppositeChildShouldBeUpdated numerical split optimisation.

* No need to use constraints when computing the output of the root.

* Refactor existing constraints.

* Add advanced constraints method.

* Update tests.

* Add override.

* linting.

* Add override.

* Simplify condition in LeftRightContainsRelevantInformation.

* Add virtual destructor to FeatureConstraint.

* Remove redundant blank line.

* linting of else.

* Indentation.

* Lint else.

* Replaced non-const reference by pointers.

* Forgotten reference.

* Leverage USE_MC for efficiency.

* Make constraints const again in feature_histogram.hpp.

* Update docs.

* Add "advanced" to the monotone constraints options.

* Update monotone constraints restrictions.

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Remove superfluous parenthesis.

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Fix loop iterator.
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Remove std namespace qualifier.

* Fix unsigned_int size_t comparison.

* Set num_features as int for consistency with the rest of the codebase.

* Make sure constraints exist before recomputing them.

* Initialize previous constraints in UpdateConstraints.

* Update monotone constraints restrictions.

* Refactor UpdateConstraints loop.

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

* Delete white spaces.
Co-authored-by: Charles Auguste <charles.auguste@sig.com>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Add the monotone penalty parameter to the config.

* Pass tree in the necessary functions so it can be used in ComputeBestSplitForFeature.

* Add monotone penalty.

* Added link to the original report.

* Add tests.

* Fix GPU.

* Revert "Pass tree in the necessary functions so it can be used in ComputeBestSplitForFeature."

This reverts commit 37757e8e8f3a2c82a604f4af9a926da616660d2e.

* Revert "Fix GPU."

This reverts commit e49eeee41c883f3c97fd5cdbd53c9288094bffb6.

* Added a shared pointer to the tree so the constraints can use it too.

* Moved check on monotone penalty to config.cpp.

* Python linting.

* Use AssertTrue instead of assert_.

* Fix penalization in test.

* Make GPU deterministic in tests.

* Rename tree to tree_ in monotone constraints.

* Replaced epsilon by kEplison.

* Typo.

* Make tree pointer const.

* Update src/treelearner/monotone_constraints.hpp
Co-Authored-By: Guolin Ke <guolin.ke@outlook.com>

* Update src/treelearner/monotone_constraints.hpp
Co-Authored-By: Guolin Ke <guolin.ke@outlook.com>

* Added alias for the penalty.

* Remove useless comment.

* Save CI time.

* Refactor test_monotone_penalty_max.

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

* Fix doc to be in line with previous config change commit.
Co-authored-by: Charles Auguste <auguste@dubquantdev801.ire.susq.com>
Co-authored-by: Guolin Ke <guolin.ke@outlook.com>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Add util functions.

* Added monotone_constraints_method as a parameter.

* Add the intermediate constraining method.

* Updated tests.

* Minor fixes.

* Typo.

* Linting.

* Ran the parameter generator for the doc.

* Removed usage of the FeatureMonotone function.

* more fixes

* Fix.

* Remove duplicated code.

* Add debug checks.

* Typo.

* Bug fix.

* Disable the use of intermediate monotone constraints and feature sampling at the same time.

* Added an alias for monotone constraining method.

* Use the right variable to get the number of threads.

* Fix DEBUG checks.

* Add back check to determine if histogram is splittable.

* Added forgotten override keywords.

* Perform monotone constraint update only when necessary.

* Small refactor of FastLeafConstraints.

* Post rebase commit.

* Small refactor.

* Typo.

* Added comment and slightly improved logic of monotone constraints.

* Forgot a const.

* Vectors that are to be modified need to be pointers.

* Rename FastLeafConstraints to IntermediateLeafConstraints to match documentation.

* Remove overload of GoUpToFindLeavesToUpdate.

* Stop memory leaking.

* Fix cpplint issues.

* Fix checks.

* Fix more cpplint issues.

* Refactor config monotone constraints method.

* Typos.

* Remove useless empty lines.

* Add new line to separate includes.

* Replace unsigned ind by size_t.

* Reduce number of trials in tests to decrease CI time.

* Specify monotone constraints better in tests.

* Removed outer loop in test of monotone constraints.

* Added categorical features to the monotone constraints tests.

* Add blank line.

* Regenerate parameters automatically.

* Speed up ShouldKeepGoingLeftRight.
Co-authored-by: Charles Auguste <auguste@dubquantdev801.ire.susq.com>
Co-authored-by: guolinke <guolin.ke@outlook.com>

* Move monotone constraints to the monotone_constraints files.

* Add checks for debug mode.

* Refactored FindBestSplitsFromHistograms.

* Add headers.

* fix

* Update data_parallel_tree_learner.cpp

* simplify ComputeBestSplitForFeature

* Fix min / max issue.

* Remove duplicated check.
Co-authored-by: Guolin Ke <guolin.ke@outlook.com>