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* [python-package] create Dataset from sampled data.

* [python-package] create Dataset from List[Sequence].

1. Use random access for data sampling
2. Support read data from multiple input files
3. Read data in batch so no need to hold all data in memory

* [python-package] example: create Dataset from multiple HDF5 file.

* fix: revert is_class implementation for seq

* fix: unwanted memory view reference for seq

* fix: seq is_class accepts sklearn matrices

* fix: requirements for example

* fix: pycode

* feat: print static code linting stage

* fix: linting: avoid shell str regex conversion

* code style: doc style

* code style: isort

* fix ci dependency: h5py on windows

* [py] remove rm files in test seq
https://github.com/microsoft/LightGBM/pull/4089#discussion_r612929623

* docs(python): init_from_sample summary

https://github.com/microsoft/LightGBM/pull/4089#discussion_r612903389



* remove dataset dump sample data debugging code.

* remove typo fix.

Create separate PR for this.

* fix typo in src/c_api.cpp
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* style(linting): py3 type hint for seq

* test(basic): os.path style path handling

* Revert "feat: print static code linting stage"

This reverts commit 10bd79f7f8258bea8e61c3abb8c9c7e4456a916d.

* feat(python): sequence on validation set

* minor(python): comment

* minor(python): test option hint

* style(python): fix code linting

* style(python): add pydoc for ref_dataset

* doc(python): sequence
Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>

* revert(python): sequence class abc

* chore(python): remove rm_files

* Remove useless static_assert.

* refactor: test_basic test for sequence.

* fix lint complaint.

* remove dataset._dump_text in sequence test.

* Fix reverting typo fix.

* Apply suggestions from code review
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Fix type hint, code and doc style.

* fix failing test_basic.

* Remove TODO about keep constant in sync with cpp.

* Install h5py only when running python-examples.

* Fix lint complaint.

* Apply suggestions from code review
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* Doc fixes, remove unused params_str in __init_from_seqs.

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

* Remove unnecessary conda install in windows ci script.

* Keep param as example in dataset_from_multi_hdf5.py

* Add _get_sample_count function to remove code duplication.

* Use batch_size parameter in generate_hdf.

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

* Fix after applying suggestions.

* Fix test, check idx is instance of numbers.Integral.

* Update python-package/lightgbm/basic.py
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Expose Sequence class in Python-API doc.

* Handle Sequence object not having batch_size.

* Fix isort lint complaint.

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

* Update docstring to mention Sequence as data input.

* Remove get_one_line in test_basic.py

* Make Sequence an abstract class.

* Reduce number of tests for test_sequence.

* Add c_api: LGBM_SampleCount, fix potential bug in LGBMSampleIndices.

* empty commit to trigger ci

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

* Rename to LGBM_GetSampleCount, change LGBM_SampleIndices out_len to int32_t.

Also rename total_nrow to num_total_row in c_api.h for consistency.

* Doc about Sequence in docs/Python-Intro.rst.

* Fix: basic.py change LGBM_SampleIndices out_len to int32.

* Add create_valid test case with Dataset from Sequence.

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

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

* Remove no longer used DEFAULT_BIN_CONSTRUCT_SAMPLE_CNT.

* Update python-package/lightgbm/basic.py
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Willian Zhang <willian@willian.email>
Co-authored-by: Willian Z <Willian@Willian-Zhang.com>
Co-authored-by: James Lamb <jaylamb20@gmail.com>
Co-authored-by: shiyu1994 <shiyu_k1994@qq.com>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* [dask] add tutorial documentation (fixes #3814, fixes #3838)

* add notes on saving the model

* quick start examples

* add examples

* fix timeouts in examples

* remove notebook

* fill out prediction section

* table of contents

* add line back

* linting

* isort

* 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>

* move examples under python-guide

* remove unused pickle import
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* Revert "specify the last supported version of scikit-learn (#2637)"

This reverts commit d1002776.

* ban scikit-learn 0.22.0 and skip broken test

* fix updated test

* fix lint test

* Revert "fix lint test"

This reverts commit 8b4db0805fe7a9e7f7eb0be3eac231f85026d196.

* fix travis badge

* updated GitHub Microsoft URL

* added plot_split_value_histogram function

* updated init module

* added plot split value histogram example

* added plot_split_value_histogram to notebook

* added test

* fixed pylint

* updated API docs

* fixed grammar

* set y ticks to int value in more sufficient way

* added example about custom feval with sklearn wrapper

* fixed pylint

* added new example in contents

* unified run example commands for Windows and Linux

* added note about comments in examples conf files

* added missed description of plot_example in python_guide folder and fixed consistency for packages naming

* more reliable OS detection

* fixed grammar

* made pylint happy

* Note the relationship between `binary` and `xentropy` in the docs and provide an example that compares them

* Pass pylint and fix docs formatting. "pylint: disable = no-name-in-module" because pylint does not believe scipy.special contains expit

* pass pycodestyle

* pass pycodestyle with correct flags; document example in readme

* fixed Python-API references

* moved Features section to ReadTheDocs

* fixed index of ReadTheDocs

* moved Experiments section to ReadTheDocs

* fixed capital letter

* fixed citing

* moved Parallel Learning section to ReadTheDocs

* fixed markdown

* fixed Python-API

* fixed link to Quick-Start

* fixed gpu docker README

* moved Installation Guide from wiki to ReadTheDocs

* removed references to wiki

* fixed capital letters in headings

* hotfixes

* fixed non-Unicode symbols and reference to Python API

* fixed citing references

* fixed links in .md files

* fixed links in .rst files

* store images locally in the repo

* fixed missed word

* fixed indent in Experiments.rst

* fixed 'Duplicate implicit target name' message which is successfully
resolved by adding anchors

* less verbose

* prevented maito: ref creation

* fixed indents

* fixed 404

* fixed 403

* fixed 301

* fixed fake anchors

* fixed file extentions

* fixed Sphinx warnings

* added StrikerRUS profile link to FAQ

* added henry0312 profile link to FAQ

* add python examples to test [test should fail]

* fix example && move some to advanced_example

* fix last line

* refine test python version

* fixed capital letters and formating

* fixed CMake capital letters; added VS 2013 to the list of allowed versions

* Update Python-API.md

* for a better jump in page

A space is needed between `#` and the headers content according to Github's markdown format [guideline](https://guides.github.com/features/mastering-markdown/)

After adding the spaces, we can jump to the exact position in page by click the link.

* fixed something mentioned by @wxchan

* Update Python-API.md

* Add examples on how to use the saved model

* move 'load model' examples to advanced_example

* add plot importance

* add plot example