Fix pickling problem with closure in custom loss by using dill

[khsjursen]

When saving a grid search object with the custom XGBRegressor class and objective function, the following does not work:
joblib.dump(gs_obj, dir + '/' + 'custom_loss_cv_grid.pkl')

The custom objective function cannot be pickled since it is defined within a closure. Using dill instead of pickle solves the problem:

import dill as pickle

# Run grid search
gs_obj = GridSearchCV(..)

# Save grid search object
with open(dir + '/' + 'custom_loss_cv_grid.pkl', 'wb') as f:
    pickle.dump(gs_obj, f) 

Install with:
pip install dill

[JulianBiesheuvel]

Currently, this is implemented in the CustomXGBoostRegressor class directly. In addition, to loading a pre-existing model/gridsearch. Eventually, when more models are added this feature should be part of a wrapper class (or something similar).