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* added ability to pass first_metric_only in params

* simplified tests

* fixed test

* fixed punctuation

* ignore pandas ordered categorical columns by default

* fix tests

* fix tests

* added comments

* Update doc string for pred_contrib

See comments at the end of #1969

* Update basic.py

* Update basic.py

* update doc strings

* update equals sign in doc string

* strip whitespace and gen rst

* strip whitespace

* Use first_metric_only flag for early_stopping function.

In order to apply early stopping with only first metric, applying first_metric_only flag for early_stopping function.

* upcate comment

* Revert "upcate comment"

This reverts commit 1e75a1a415cc16cfbe795181e148ebfe91469be4.

* added test

* fixed docstring

* cut comment and save one line

* document new feature

* convert datatable to numpy directly

* fix according to comments

* updated more docstrings

* simplified isinstance check

* Update compat.py

* [python] fix creating train_set in fit

https://github.com/Microsoft/LightGBM/blob/cc99f0d36ae929eb02b22a072823ab7c6d3155ab/python-package/lightgbm/sklearn.py#L519
may False even if valid_data[0] is X and valid_data[1] is y actually, because `check_X_y` might return copy of X and y.
https://scikit-learn.org/0.20/modules/generated/sklearn.utils.check_X_y.html

cf. https://github.com/Microsoft/LightGBM/pull/451

* use assertIn

* added docstring style test and fixed errors in existing docstrings

* hotfix

* hotfix

* fix grammar

* hotfix

* Fixed some typos in Python API Docs

* FixTypo changed validation set -> sets

* fixed FutureWarning about cv default value

* fixed according to new check_estimator API

* fixed joblib warning

* break extremely large lines in basic.py

* break extremely large lines in callback.py

* break extremely large lines in engine.py

* break extremely large lines in sklearn.py

* hotfixes

* warning on categorical feature with sparse values

* [docs] categorical features note

* pass params to _InnerPredictor in train and cv

* fixed verbosity param description

* treat silent param as Fatal log level

* create Dataset in refit method silently

* do not overwrite verbose param by silent argument

* bring consistency and clearness into early_stopping_rounds desc, metric desc and implementation

* hotfix

* hotfix

* used NDCG as default metric for lambdarank task

* fixed missed methods at ReadTheDocs and changed default eval_metric

* leaved only unique metrics

* fixed comment

* refined num_iteration argument in python

* hotfix

* broadcast info about negative values in categorical features to python package

* update link to categorical_feature parameter

* refined random_state description

* use neutral alias and fixed desc of eval_at param, since metric can be not only ndcg

* simplified checks

* consider verbose alias

* fixed declaring function every loop iteration

* added new aliases for params

* run helper/parameter_generator.py

* removed useless test

* ignore vim temporary files

* add importance_type arg to sklearn API

* update documentation info

* remote a trailing space

* remove trailing space (again :))

* add instructions on importance choices to sklearn API

* drop mention of constructor in the feature type setting

* adding a test for different feture types

* remove trailing spaces, make shorter assert in feature importance type handling test

* fixing style issue introduced with the new test

The document of `early_stopping_rounds` says it will check all of
eval_set. But, this is not true. It doesn't check the dataset
specified as the training data.

This change appends an extra phrase "except the training data" to all
of the sentences "If there's more than one, will check all of them" in
documents.

* added checks for categorical features > max_int32

* added tests

* fixed pylint

* removed warnings about overridden categorical features

* Revert "removed warnings about overridden categorical features"

This reverts commit 289a426c700ce8934a526cc456a1b1cd5c621db9.

* a little bit more efficient checks

* added notes about max values in categorical features

* Revert "a little bit more efficient checks"

This reverts commit bed88830243da21a2db454873c0e308126e05732.

* Revert "fixed pylint"

This reverts commit a229e1563b0abc1b13de6358577abf90bd529015.

* Revert "added tests"

This reverts commit 299e001b7550111555b80730d673d4f225cf5f74.

* Revert "added checks for categorical features > max_int32"

This reverts commit 2cc7afacde7c6366644f6988ccedc344752b68c7.

* fixed docs

* reworker predict method of sklearn wrapper

* fixed encapsulation

* added test

* fixed consistency between docstring and params docs

* fixed verbose

* replaced predict_proba with predict in test

* fixed verbose again

* fixed fraction params descriptions

* added description of skip_drop and drop_rate constraints

* fixed subsample_freq consistency with C++ default value

* fixed nice look of params list

* made force splits json file example clickable

* fixed nice look of metrics list and added comma

* reduced warning in test about same param specified twice

* replaced pred_parameter with **kwargs in predict method

* added test for **kwargs in predict method

* fixed warnings

* fixed pylint

* updated pep8 to pycodestyle

* fixed E722 do not use bare 'except'

* fixed W605 invalid escape sequence '\*'

* fixed W504 line break after binary operator

* ignore W605 invalid escape sequence '\*' in nuget builder

* made pycodestyle happy

* add info on adaptive learning rate in the sklearn API

* adjust learning rate documentation following the PR discussion

* fix early stopping documentation

* improve wording

* fixing trailing spaces

* update sklearn fit parameter description

* update mtric parameter description

* added comment to not forget

* updated LGBMClassifier according to new aliases