[python] make log_evaluation callback pickleable

[StrikerRUS]

Contributes to #5080.

In master, test_log_evaluation_callback_is_picklable() test fails with

============================================================================== FAILURES ==============================================================================
_________________________________________________________ test_log_evaluation_callback_is_picklable[pickle] __________________________________________________________

serializer = 'pickle', tmp_path = WindowsPath('C:/Users/nekit/AppData/Local/Temp/pytest-of-nekit/pytest-26/test_log_evaluation_callback_i0')

    @pytest.mark.parametrize('serializer', ["pickle", "joblib", "cloudpickle"])
    def test_log_evaluation_callback_is_picklable(serializer, tmp_path):
        callback = lgb.log_evaluation(period=42)
        tmp_file = tmp_path / "log_evaluation.pkl"
>       pickle_obj(
            obj=callback,
            filepath=tmp_file,
            serializer=serializer
        )

test_callback.py:29:
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

obj = <function log_evaluation.<locals>._callback at 0x000001E31C0E7C10>
filepath = WindowsPath('C:/Users/nekit/AppData/Local/Temp/pytest-of-nekit/pytest-26/test_log_evaluation_callback_i0/log_evaluation.pkl'), serializer = 'pickle'

    def pickle_obj(obj, filepath, serializer):
        if serializer == 'pickle':
            with open(filepath, 'wb') as f:
>               pickle.dump(obj, f)
E               AttributeError: Can't pickle local object 'log_evaluation.<locals>._callback'

utils.py:142: AttributeError
_________________________________________________________ test_log_evaluation_callback_is_picklable[joblib] __________________________________________________________

serializer = 'joblib', tmp_path = WindowsPath('C:/Users/nekit/AppData/Local/Temp/pytest-of-nekit/pytest-26/test_log_evaluation_callback_i1')

    @pytest.mark.parametrize('serializer', ["pickle", "joblib", "cloudpickle"])
    def test_log_evaluation_callback_is_picklable(serializer, tmp_path):
        callback = lgb.log_evaluation(period=42)
        tmp_file = tmp_path / "log_evaluation.pkl"
>       pickle_obj(
            obj=callback,
            filepath=tmp_file,
            serializer=serializer
        )

test_callback.py:29:
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
utils.py:144: in pickle_obj
    joblib.dump(obj, filepath)
d:\miniconda3\lib\site-packages\joblib\numpy_pickle.py:480: in dump
    NumpyPickler(f, protocol=protocol).dump(value)
d:\miniconda3\lib\pickle.py:487: in dump
    self.save(obj)
d:\miniconda3\lib\site-packages\joblib\numpy_pickle.py:282: in save
    return Pickler.save(self, obj)
d:\miniconda3\lib\pickle.py:560: in save
    f(self, obj)  # Call unbound method with explicit self
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

self = <joblib.numpy_pickle.NumpyPickler object at 0x000001E31C239490>, obj = <function log_evaluation.<locals>._callback at 0x000001E31C24E670>
name = 'log_evaluation.<locals>._callback'

    def save_global(self, obj, name=None):
        write = self.write
        memo = self.memo

        if name is None:
            name = getattr(obj, '__qualname__', None)
        if name is None:
            name = obj.__name__

        module_name = whichmodule(obj, name)
        try:
            __import__(module_name, level=0)
            module = sys.modules[module_name]
            obj2, parent = _getattribute(module, name)
        except (ImportError, KeyError, AttributeError):
>           raise PicklingError(
                "Can't pickle %r: it's not found as %s.%s" %
                (obj, module_name, name)) from None
E           _pickle.PicklingError: Can't pickle <function log_evaluation.<locals>._callback at 0x000001E31C24E670>: it's not found as lightgbm.callback.log_evaluation.<locals>._callback

d:\miniconda3\lib\pickle.py:1070: PicklingError

[jameslamb]

Looks great! Thanks very much for starting work on this issue, I think it'll be great to have better compatibility with frameworks like Ray and Dask.

I just left two minor comments.

[jameslamb]

very very minor comment, but could this empty line be removed, to group all assignments to self.* properties?

[StrikerRUS]

I believe it would be better for code readability to split properties that are common for all callbacks (order and before_iteration) and specific properties for a particular callback. WDYT?
Refer to

LightGBM/python-package/lightgbm/callback.py

Lines 204 to 210 in 417c732

	self.order = 30
	self.before_iteration = False
	self.stopping_rounds = stopping_rounds
	self.first_metric_only = first_metric_only
	self.verbose = verbose
	self.min_delta = min_delta

[jameslamb]

ah I see, that makes sense. Ok yeah I'm fine with that too! I don't feel strongly either way.

[github-actions]

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