[python-package] support saving and loading CVBooster (fixes #3556)

[nyanp]

This PR resolves #3556 by implementing the following method in CVBooster:

• save_model
• model_from_string
• model_to_string

[ghost]

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[jameslamb]

Thanks very much for taking this on!

I will provide a more thorough review in the next few days, for now please see my initial round of suggestions.

Also note that this does not totally resolve #3556. As mentioned in the discussion there, it should also be possible to pickle a CVBooster and load one from a pickle file. I think that work should be picked up in a follow-up PR after this one.

[nyanp]

Also note that this does not totally resolve #3556. As mentioned in the discussion there, it should also be possible to pickle a CVBooster and load one from a pickle file. I think that work should be picked up in a follow-up PR after this one.

This can be solved by simply defining __getstate__ and __setstate__ in CVBooster, which I will try to solve together in this PR.

[jameslamb]

Thanks for the test changes! I'd originally suggested splitting pickling into a separate PR to keep this one small, but now that I see how small the changes are I think it's ok to leave all in this PR.

Please see a few more recommendations on the tests. I'll provide a more thorough review once I have a chance to run this code myself and inspect the outputs.

[nyanp]

I signed the CLA and once the status was OK, but at some point, the bot status changed again to "not signed yet".
When I access the CLA page (https://cla.opensource.microsoft.com/microsoft/LightGBM?pullRequest=5160) again, it says "You have signed the CLA for multiple repositories or organizations" and I cannot re-sign.
Can anyone help me?

[StrikerRUS]

@nyanp Sorry about this inconvenience!
I believe we can "fix" it via closing-reopenning this PR.

[nyanp]

@jameslamb
Hi, could you please review it again? I believe all review points have been resolved. Thanks :)

[StrikerRUS]

Thanks a lot for this PR!
Please consider checking some my comments below.

[jameslamb]

Thanks very much for this! I agree with all of @StrikerRUS 's suggestions, so please address those before we can merge this.

I have no further comments right now.

[StrikerRUS]

Kindly ping @nyanp

[jameslamb]

@nyanp are you interested in continuing this pull request? This is a really useful addition to the library and we're very grateful for your work so far. I'd love to see this completed.

[nyanp]

@jameslamb
Sorry for the late reply, I have been off for a while. I will resume today!

[nyanp]

I believe all review content has now been resolved.
Please re-review @StrikerRUS @jameslamb

[StrikerRUS]

Great job, thank you!

LGTM!

Just some minor comments below.

Stale review.

[jameslamb]

I just re-reviewed. All of my and other reviewers' comments have been addressed, and I don't have any other suggestions.

EXCELLENT work @nyanp 🎉 🎉 🎉

We really appreciate your hard work on this very impactful feature, and your patience with the review process. I hope you'll consider contributing to LightGBM more in the future.

[nyanp]

I just re-reviewed. All of my and other reviewers' comments have been addressed, and I don't have any other suggestions.

EXCELLENT work @nyanp 🎉 🎉 🎉

We really appreciate your hard work on this very impactful feature, and your patience with the review process. I hope you'll consider contributing to LightGBM more in the future.

@jameslamb
Thank you very much for the kind and polite review! I am very happy to contribute to my favorite library. I have enjoyed this long journey ;)

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.