[python-package] fix mypy errors in engine.py

[jameslamb]

Contributes to #3867.

This PR fixes mypy errors in engine.py

python-package/lightgbm/engine.py:226: error: Incompatible types in assignment (expression has type "Set[]", variable has type "Optional[List[Callable[..., Any]]]")
python-package/lightgbm/engine.py:230: error: Incompatible types in assignment (expression has type "Set[Callable[..., Any]]", variable has type "Optional[List[Callable[..., Any]]]")
python-package/lightgbm/engine.py:242: error: Item "List[Callable[..., Any]]" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:242: error: Item "None" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:244: error: Item "List[Callable[..., Any]]" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:244: error: Item "None" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:247: error: Item "List[Callable[..., Any]]" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:247: error: Item "None" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:252: error: Item "List[Callable[..., Any]]" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:252: error: Item "None" of "Optional[List[Callable[..., Any]]]" has no attribute "add"
python-package/lightgbm/engine.py:254: error: Item "None" of "Optional[List[Callable[..., Any]]]" has no attribute "iter" (not iterable)
python-package/lightgbm/engine.py:255: error: Unsupported left operand type for - ("List[Callable[..., Any]]")
python-package/lightgbm/engine.py:255: error: Unsupported left operand type for - ("None")
python-package/lightgbm/engine.py:255: note: Left operand is of type "Optional[List[Callable[..., Any]]]"
python-package/lightgbm/engine.py:256: error: Incompatible types in assignment (expression has type "List[Union[Callable[..., Any], Any]]", variable has type "Set[Union[Callable[..., Any], Any]]")
python-package/lightgbm/engine.py:300: error: Incompatible types in assignment (expression has type "float", variable has type "List[Any]")

Confirmed that this suppresses these warnings by running the following.

mypy \
    --exclude='python-package/compile/|python-package/build' \
    --ignore-missing-imports \
    python-package/

Notes for Reviewers

Some of these errors caught an issue in the type hints for callbacks.EarlyStopException. That exception has a property best_score which seems like it should be a float, but in every place where one of those is created, best_score is populated with a list of eval results similar to this:

[
    ('training', 'binary_logloss', 0.014361246252423975, False),
    ('training', 'mape', 0.013889796906138775, False),
    ('valid', 'binary_logloss', 0.0561150102648419, False),
    ('valid', 'mape', 0.042410104106485866, False)
]

LightGBM/python-package/lightgbm/engine.py

Line 300 in 67b4205

evaluation_result_list = earlyStopException.best_score

LightGBM/python-package/lightgbm/callback.py

Line 280 in 67b4205

raise EarlyStopException(best_iter[i], best_score_list[i])

LightGBM/python-package/lightgbm/callback.py

Line 307 in 67b4205

raise EarlyStopException(best_iter[i], best_score_list[i])

[StrikerRUS]

Thank you very much for fixing callback typehints!

[github-actions]

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