[R] Enable vector-valued parameters

[david-cortes]

ref #9810

This PR adds support for passing parameters that might consist of a vector of values instead of a single value, thereby enabling support for multi-quantile regression.

I see in the python interface that parameter eval_metric behaves quite differently as it requires passing entries by triggering multiple calls to XGBoosterSetParam but with the same parameter name, instead of passing a json list as a single parameter, so that's the approach I am following here.

[trivialfis]

Thank you for the work on quantile regression! One small question in the comment.

instead of passing a json list as a single parameter

That would be possible. The JSON parameter was introduced long after the initial parameter implementation.

[trivialfis]

A bit confused here, how does the existing code handle multiple evaluation metrics? I think the PR #8657 was supposed to handle it, but I could be wrong.

[david-cortes]

Up this point, if following the code in the master branch, the object p would also have a list with one entry per metric, PLUS another entry where the metrics are together.

For example, the code in the test would produce something like this for variable p up to the point before the lapply:

$eval_metric
$eval_metric[[1]]
[1] "error"

$eval_metric[[2]]
[1] "auc"

$eval_metric[[3]]
[1] "logloss"


$eval_metric
[1] "error"

$eval_metric
[1] "auc"

$eval_metric
[1] "logloss"

The call to lapply (current master branch) as it is in this PR would take the first entry from the multi-valued one, so it will transform it like this:

$eval_metric
[1] "error"

$eval_metric
[1] "error"

$eval_metric
[1] "auc"

$eval_metric
[1] "logloss"

After the changes in this PR, it will only have the non-repeated ones. Since the lapply code is being changed here in way in which multi-valued entries now produce a different input to the C function, I thought the easiest way would be to remove the multi-valued entry.

I experimented with passing them as a JSON list, but that doesn't seem to have the intended effect - for example, xgb.config produces this error:

Error in xgboost::xgb.config(object) : 
  [21:31:12] ../..//src/metric/metric.cc:49: Unknown metric function ["error", "auc", "logloss"]

[trivialfis]

Thank you for the explanation, I can reproduce the repeated values.