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[ci] [R-package] add CI jobs covering more CRAN "additional checks", fix R_NO_REMAP warnings (fixes #6369) (#6523)

* [ci] [R-package] add CI jobs testing newer compilers

* set up vignette-processing dependencies

* remove tinytex

* set up pandoc

* allow NOTEs, one more R_NO_REMAP guard

* restore other CI

* one more R_NO_REMAP guard

* fail builds producing more than 1 NOTE

* update approach for running R CMD check

* fix filepath

* fix paths

* fix variable name

* echo lines

* fix piping

* fix file extension

* clean up

* make R CMD check stricter

* fix R memory leaks

* attempt at solving linter complaints

* fix compilation on windows

* move R_API_BEGIN to correct place

* make sure exception objects reach out of scope

* better way to solve rchk complaints

* remove goto statement

* 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>

* redir log to python console

* fix pylint

* Apply suggestions from code review

* Update basic.py

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

* Update c_api.h

* Apply suggestions from code review

* Apply suggestions from code review

* super-minor: better wording
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: StrikerRUS <nekit94-12@hotmail.com>

* [R-package] started cutting over from custom R-to-C interface to R.h

* replaced LGBM_SE with SEXP

* fixed error about ocnflicting definitions of length

* got linking working

* more stuff

* eliminated R CMD CHECK note about printing

* switched from hard-coded include dir to the one from FindLibR.cmake

* cleaned up formatting in FindLibR.cmake

* commented-out everything in CI that does not touch R

* more changes

* trying to get better logs

* tried ignoring

* added error message to confirm a suspicion

* still trying to find R during R CMD CHECK

* restore full CI

* fixed comment

* Update R-package/src/cmake/modules/FindLibR.cmake

* changed strategy for finding LIBR_HOME on Windows

* Removed 32-bit Windows stuff in FindLibR.cmake

* Update R-package/src/cmake/modules/FindLibR.cmake

* Update CMakeLists.txt
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update CMakeLists.txt
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* removed some duplication in cmake scripts

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* added LIBR_CORE_LIBRARY back

* small fixes to CMakeLists

* simplified FindLibR.cmake

* some fixes for windows

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

* allowed for directly passing LIBR_EXECUTABLE to FindLibR.cmake

* reorganized FindLibR.cmake to catch more cases

* clean up inconsistencies  in R calls in FindLibR.cmake

* Update R-package/src/cmake/modules/FindLibR.cmake
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* removed unnecessary log messages

* removed unnecessary unset() call
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* added all necessary includes - fixed build/include_what_you_use error

* fixed the order of includes (build/include_order)

* thread local for the network interface.

* fix bug.

* src & callbacks

* lgb.Booster and utils

* cv

* wip lgb.Dataset

* lgb.Dataset

* lgb.Predictor

* lgb.train

* typos

* add flags to facilitate macosx compilation

* fix basic_string template error with clang

* most unfortunate mode of development

* fixup tests

* last test

* roxygen

* roxygen v5.x.x

1. merge python-package
2. add dump model to json
3. fix bugs
4. clean code with pylint
5. update python examples

* a python regression example

* add early-stopping

* fix bugs

* remove not needed files

* update easy-stopping; fix warnings; add alias

* add comments; remove useless line

* change code order

* change Print to PrintAndGetLoss: return loss

* change comment; add bracket

* change return type of PredictLeafIndex in boosting.h

* move string cast into lambda function

* move if-then outside predict_fun