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[python-package] use 2d collections for predictions, grads and hess in multiclass custom objective (#4925)

* reshape predictions, grad and hess in multiclass custom objective

* add sklearn test. move custom obj to utils. docs for numpy

* use num_model_per_iteration to get num_classes

* update docs and dask multiclass custom objective test

* move reshaping to __inner_predict. add test for feval

* add missing note. remove extra line

* clarify that categoricals will be converted to ints and not that they should be ints in the input data

* update remaining sections

* update config.h

* add suggestions

* feat: refit additional kwargs for dataset and predict

* test: kwargs for refit method

* fix: __init__ got multiple values for argument

* fix: pycodestyle E302 error

* refactor: dataset_params to avoid breaking change

* refactor: expose all Dataset params in refit

* feat: dataset_params updates new_params

* fix: remove unnecessary params to test

* test: parameters input are the same

* docs: address StrikeRUS changes

* test: refit test changes in train dataset

* test: set init_score and decay_rate to zero

[python] raise an informative error instead of segfaulting when custom objective produces incorrect output (#4815)

* fix for bad grads causing segfault

* adjust checking criteria to properly reflect reality of multi-class classifiers

* fix styling

* Line break before operator

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

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

* add a note to the C-API docs

* rearrange text s;ightly

* add some tests to python package

* Update include/LightGBM/c_api.h
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* PR comments

* match argument is a regex and our expression has brackets ..

* rework tests

* isorting imports

* updating test to relfect that the python APi does not take pres/labels as a fobj function
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* add C API function that returns all param names with aliases

* add C API function that returns all param names with aliases

* add R code

* test R code

* remove debug CI

* fix R lint

* refactor

* run CI

* fix R

* fix

* revert CI checks

* revert changes in docs

* Try to make function `const`
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* add `const` in cpp file

* address review comments and sync with `master`
Co-authored-by: James Lamb <jaylamb20@gmail.com>

* in predict(), respect params set via `set_params()` after fit()

* continue

* add test

* fix return name

* hotfix

* simplify

* Update sklearn.py

* Update engine.py

* Update sklearn.py

* Update engine.py

* Update basic.py

* Update engine.py

* Update test_plotting.py

* Update dask.py

* Update sklearn.py

* Update test_sklearn.py

* Update basic.py

* Update engine.py

* Update test_engine.py

* Update basic.py

* Update basic.py

* Update engine.py

* [c_api] Improve ANSI compatibility by avoiding <stdbool.h>

* fixes in response to CI linting

* inline NOLINT instead of separate test

* moving length declaration to non-ANSI C conditional

* [c_api] Align expected return type in `basic.py` with new c_api type.

* Faster categorical column names selection (#1)

* Faster categorical column names selection

Change slow and redundant dataframe query by select_dtypes into a dataframe.dtypes list comprehension

* Update compat with CategoricalDtype

* sort imports

* import CategoricalDtype from pandas.api.types

* add categorical import try/except

* Add 'nrounds' as an alias for 'num_iterations'

* Improve tests

* Compare against nrounds directly

* Fix whitespace lints

Co-authored-by: strobel <thaddaeus.strobel@ai4bd.com>
Co-authored-by: Nikita Titov <nekit94-12@hotmail.com>

[python-package] Support 2d collections as input for `init_score` in multiclass classification task (#4150)

* initial implementation of init_score for multiclass classification

* check for 1d or 2d collection in init_score

* remove dataset import

* initial comments

* update dask test and docstrings

* update docstrings

* move logic to set_field. reshape back on get_field

* add type hints and update docstrings for dask. fix Dataset.set_field

* revert wrong docstrings and type hints

* add extra comma for consistency

* prefix private functions with underscore

add type hints to new functions

make commas consistent in dask and basic

* add missing spaces after type hint

* remove shape condition for dataframe in is_2d_collection
Co-authored-by: Nikita Titov <nekit94-12@hotmail.com>

* deprecate `silent` and standalone `verbose` args. Prefer global `verbose` param

* simplify code

* Rephrase warning messages

* Reffer to string type as `str` and and commas in `list of ...` types

* update `libpath.py` too

[docs] Clarify the fact that predict() on a file does not support saved Datasets (fixes #4034) (#4545)

* documentation changes

* add list of supported formats to error message

* add unit tests

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

* update per review comments

* make references consistent
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* add parameter object_hook to function dump_model (python API)

* eol

* fix syntax

* lint

* better documentation

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

* [python] add type hints to logging functions in basic.py

* add hints on wrapper

* Update c_api LGBM_SampleIndices() comment.

rand.Sample() now returns exactly given number of samples, thus the
comment should be fixed.

* Update include/LightGBM/c_api.h
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* [python] support Dataset.get_data for Sequence input.

* Tweaks according to review comments.

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

* Add test cases.

* fix import order in test_basic.py
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* allow to pass some params as pathlib.Path objects

* fix lint

* improve indentation

* Update test_sklearn.py

* Update test_basic.py

* Update dask.py

* Update basic.py

* Update basic.py

* Update basic.py

* Update basic.py

* Update callback.py

* [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>

* handle arbitrary length feature names in Python-package

* added tests