Add an error when not using CPU

src/c_api.cpp

@@ -2754,7 +2754,11 @@ LIGHTGBM_C_EXPORT int LGBM_ObjectiveFunctionCreate(const char *typ,
   API_BEGIN();
   auto param = Config::Str2Map(parameter);
   Config config(param);
-  *out = ObjectiveFunction::CreateObjectiveFunction(std::string(typ), config);
+  if (config.device_type != std::string("cpu")) {
+    Log::Fatal("Currently the ObjectiveFunction class is only exposed for CPU devices.");
+  } else {
+    *out = ObjectiveFunction::CreateObjectiveFunction(std::string(typ), config);
+  }
   API_END();
 }
 

tests/python_package_test/test_engine.py

@@ -4424,8 +4424,14 @@ def test_objective_function_class(use_weight, test_data, num_boost_round):
 
     params["objective"] = builtin_loss
     booster_exposed = lgb.train(params, lgb_train, num_boost_round=num_boost_round)
+
+    if getenv("TASK", "") != "cpu":
+        with pytest.raises(lgb.basic.LightGBMError):
+            builtin_loss(y, lgb_train)
+        return
     params["objective"] = test_data["objective_name"]
     booster = lgb.train(params, lgb_train, num_boost_round=num_boost_round)
+
     params["objective"] = test_data["custom_objective"]
     booster_custom = lgb.train(params, lgb_train, num_boost_round=num_boost_round)