fix: segmentation faults on MacOS with lightgbm tests (with newer libomp versions)

[thatlittleboy]

Overview

Description of the changes proposed in this pull request:

Fix the segmentation fault issue arising from lightgbm x libomp version on MacOS.
Read #3092 for the diagnostics / reproducible example.

This isn't a new problem (been an issue since 2021 it seems, cf. microsoft/LightGBM#4229 and autogluon/autogluon#1442).
So not quite sure why this error is only popping up now, but it's probably triggered by the new 4.0 release of lightgbm a couple days ago.

If you read the threads above, the canonical solution is to downgrade the libomp version to < 12. But I don't think that is necessary anymore, since lightgbm distributes its own libomp to the best of my understanding, which is why the bug only occurs if you import torch, lightgbm, but not when import lightgbm, torch.

So I'm proposing a different solution, which is to import lightgbm as early as possible in our test suite, and it seems to work.

Checklist

• Closes BUG: Lightgbm tests are failing on MacOS (segmentation fault) #3092
• All pre-commit checks pass.
• Unit tests added (if fixing a bug or adding a new feature)
• Added entry to CHANGELOG.md (if changes will affect users)

[connortann]

LGTM!