Please add gradient boosting

[AndreyGurevich]

Please, add gradient boosting libraries, like CatBoost, XGBoost, LightGBM.

[ypeleg]

Currently working on gradient sklearn's boosting.

In general I plan to add an optional sub-module for doing the same thing with third-party libraries.
Then I will extend this to many other libraries such as catboost, xgboost and lightgbm.

[Hemang999]

Any idea when it will be completed?

[amueller]

I recommend to add HistGradientBoosting which should be about as fast as LightGBM and faster than XGBoost [though doesn't support row or column subsampling right now, work in progress].