Need to perform incremental training #2340

Taking the regression model as an example, it is recommended to add a parameter "task" when instantiating LightGBMRegressor. I found that I couldn't continue to perform incremental training on the saved models in the form of a string or a file during my use. The LightGBM algorithm in Microsoft includes this part, and I hope to see it gradually supplemented.

task 🔗︎, default = train, type = enum, options: train, predict, convert_model, refit, aliases: task_type

train, for training, aliases: training

predict, for prediction, aliases: prediction, test

convert_model, for converting model file into if-else format, see more information in Convert Parameters

refit, for refitting existing models with new data, aliases: refit_tree

save_binary, load train (and validation) data then save dataset to binary file. Typical usage: save_binary first, then run multiple train tasks in parallel using the saved binary file