When loading a binary file, take feature penalty from config if given there.

[remcob-gr]

This is #1862 , rebased on top of master.

This enables users to override the feature penalty when loading a dataset from a binary file.
For instance, it enables disabling/enabling features via:

dataset = lgbm.Dataset('data.bin',params={'feature_contri': [0,1,1,0]})
....

The above is especially useful when the data set is large, so the cost of recreating the data set from the source data is large.

[guolinke]

Thanks, this is indeed useful.
BTW, there are other similar parameters in dataset, like monotone_constraints.
it would be better to support them as well.

[StrikerRUS]

@remcob-gr Can you please update this PR and include the same logic for other similar params?

[remcob-gr]

@StrikerRUS : I'll take care of the other parameters now.
The commit I just pushed is a small bug fix, it ensures that this change correctly handles the distinction between num_features_ and num_total_features_.

[remcob-gr]

204de56 adds support for monotone_constraints as requested by @guolinke .
@StrikerRUS: Could you review and let me know if you need any further changes?

[StrikerRUS]

@remcob-gr Many thanks!
Please fix indents below.

[remcob-gr]

@StrikerRUS : The indents should be fixed now, could you check?

[StrikerRUS]

Thanks a lot @remcob-gr for your contribution!

[StrikerRUS]

This PR introduced warnings with both gcc and Clang:

[ 40%] Building CXX object CMakeFiles/_lightgbm.dir/src/io/dataset_loader.cpp.o
/home/travis/build/Microsoft/LightGBM/src/io/dataset_loader.cpp:374:40: warning: 
      comparison of integers of different signs: 'int' and
      'std::vector::size_type' (aka 'unsigned long') [-Wsign-compare]
    CHECK(dataset->num_total_features_ == config_.monotone_constraints.size());
          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ^  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
/home/travis/build/Microsoft/LightGBM/include/LightGBM/utils/log.h:22:9: note: 
      expanded from macro 'CHECK'
  if (!(condition)) Log::Fatal("Check failed: " #condition \
        ^~~~~~~~~
/home/travis/build/Microsoft/LightGBM/src/io/dataset_loader.cpp:397:40: warning: 
      comparison of integers of different signs: 'int' and
      'std::vector::size_type' (aka 'unsigned long') [-Wsign-compare]
    CHECK(dataset->num_total_features_ == config_.feature_contri.size());
          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ^  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
/home/travis/build/Microsoft/LightGBM/include/LightGBM/utils/log.h:22:9: note: 
      expanded from macro 'CHECK'
  if (!(condition)) Log::Fatal("Check failed: " #condition \

https://travis-ci.org/Microsoft/LightGBM/jobs/480404567#L737

[guolinke]

it needs a static_cast for num_total_features to size_t.