Set feature name.

        Parameters
        ----------
        feature_name : list of strings
            Feature names.

        Returns
        -------
        self : Dataset
            Dataset with set feature name.

def set_feature_name(self, feature_name):
        """Set feature name.

        Parameters
        ----------
        feature_name : list of strings
            Feature names.

        Returns
        -------
        self : Dataset
            Dataset with set feature name.
        """
        if feature_name != 'auto':
            self.feature_name = feature_name
        if self.handle is not None and feature_name is not None and feature_name != 'auto':
            if len(feature_name) != self.num_feature():
                raise ValueError("Length of feature_name({}) and num_feature({}) don't match"
                                 .format(len(feature_name), self.num_feature()))
            c_feature_name = [c_str(name) for name in feature_name]
            _safe_call(_LIB.LGBM_DatasetSetFeatureNames(
                self.handle,
                c_array(ctypes.c_char_p, c_feature_name),
                ctypes.c_int(len(feature_name))))
        return self