[R] allow xgb.plot.importance() calls to fill a grid (fixes #4863)

[jameslamb]

Closes #4863

I was looking for issues tagged r-package tonight and found #4863 . I think this PR fixes it.

Currently, xgb.plot.importance() overwrites all of the graphical parameters when it exits, which means that consecutive calls don't respect par(mfcol), and don't fill a grid. This PR changes that, and just resets the specific value mar in the parameters.

Here are the results on 4 consecutive calls of xgb.plot.importance():

before

after

Reproducible example

code (click me)

library(data.table)

data(agaricus.train, package = "xgboost")

bst <- xgboost::xgboost(
    data = agaricus.train$data
    , label = agaricus.train$label
    , max_depth = 3
    , eta = 1
    , nthread = 2
    , nrounds = 2
    , objective = "binary:logistic"
)

importance_matrix <- xgboost::xgb.importance(
    colnames(agaricus.train$data)
    , model = bst
)

par(mfrow = c(2,2))
for (i in seq_len(4)) {
    xgboost::xgb.plot.importance(
        importance_matrix
        , rel_to_first = TRUE
        , xlab = "Relative importance"
        , left_margin = 10
    )
}

How this improves {xgboost}

This allows the results of this function to be arranged in a grid, which could be useful for comparing feature importances across different models.

Thanks for your time and consideration

[hcho3]

Thanks!