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[WIP] [FEA] Implement calibration, CV routines, and L-BFGS. #5743

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  • Implement KFold

  • Implement cross_val_predict.
    Different from sklearn, we have explicit sample_weight support in this function.

  • Implement CalibratedClassifierCV.
    Only sigmoid is supported at the moment.

  • Implement l-bfgs in Python.
    This is largely based on work by @RAMitchell with some small tweaks.

Depends on #5736 .

- Implement `KFold`
- Implement `cross_val_predict`.

Different from sklearn, we have explicit `sample_weight` support in this function.

- Implement `CalibratedClassifierCV`.

Only sigmoid is supported at the moment.
@trivialfis trivialfis added feature request New feature or request non-breaking Non-breaking change labels Feb 1, 2024
@github-actions github-actions bot added the Cython / Python Cython or Python issue label Feb 1, 2024
@trivialfis trivialfis changed the base branch from branch-24.02 to branch-24.04 February 1, 2024 21:02
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