Support for LightGBM `multiclassova` Multi-Class (one-vs-all) Objective

[JavOrraca]

I recently discovered that LightGBM has a multiclassova objective function (multi-class one-vs-all) that treats multi-class classification as a set of binary classification tasks. Getting quite decent results with this approach when passed directly to lightgbm::lgb.train(), but I'm not sure if the internal process_objective_function() overrides any objective function manually inserted in set_engine(), for example:

set_engine("lightgbm", params = list(objective = "multiclassova"))

Thanks for your help!