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Feature Request: Add Support for Linear Trees in LightGBM #2817

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@dragonbra

I noticed that the leaf nodes in decision trees only contain a single response value, as seen in this example: https://github.com/oneapi-src/oneDAL/blob/bbe13a4bcaca8eabd3751b0ccf58ed9a044254f9/cpp/daal/include/algorithms/tree_utils/tree_utils_regression.h#L51

https://github.com/oneapi-src/oneDAL/blob/bbe13a4bcaca8eabd3751b0ccf58ed9a044254f9/examples/daal/cpp/source/gradient_boosted_trees/gbt_reg_traversed_model_builder.cpp#L92

In recent versions of the LightGBM model, a new feature called linear trees has been introduced: link to the feature.
However, if I convert a linear tree model to the DAAL format, it can only store the leaf constant value, not the linear model within the leaf node.

Could this feature be added? I would greatly appreciate it.

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