Currently, the C++ compiler generates lots of warnings: https://xgboost-ci.net/blue/organizations/jenkins/xgboost/detail/master/516/pipeline/61. It would be great to reduce the number of warnings.

Note to new contributors: Post a comment here if you'd like to work on this issue. Feel free to ping me for help.

How you are using LightGBM?

LightGBM component: R package

Environment info

Operating System: macOS 10.14

C++ compiler version: gcc 8.1.0

CMake version: 3.17.3

R version: 4.0.2

LightGBM version or commit hash: https://github.com/microsoft/LightGBM/tree/c07644d1d71540204a9b56f26667e8180bd009e2

Reproducible example(s)

Thanks to @Laurae2 for sharing this with m

Problem:
catboost version: 0.23.2
Operating System: all
Tutorial: https://github.com/catboost/tutorials/blob/master/custom_loss/custom_metric_tutorial.md

Impossible to use custom metric (С++).

Code example

from catboost import CatBoost
train_data = [[1, 4, 5, 6],