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[R-package] Fix R memory leaks (fixes #4282, fixes #3462) (#4597)
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* fix R memory leaks

* attempt at solving linter complaints

* fix compilation on windows

* move R_API_BEGIN to correct place

* make sure exception objects reach out of scope

* better way to solve rchk complaints

* remove goto statement
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@david-cortes
david-cortes authored Sep 17, 2021
1 parent 2c8bb45 commit eda0d3c
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