Add a new feature name, return it's index.

def add_feature(self, feature):
        # type: (Any) -> int
        """ Add a new feature name, return it's index.
        """
        # A copy of self.feature_names is always made, because it might be
        # "owned" by someone else.
        # It's possible to make the copy only at the first call to
        # self.add_feature to improve performance.
        idx = self.n_features
        if isinstance(self.feature_names, (list, np.ndarray)):
            self.feature_names = list(self.feature_names)
            self.feature_names.append(feature)
        elif isinstance(self.feature_names, dict):
            self.feature_names = dict(self.feature_names)
            self.feature_names[idx] = feature
        elif self.feature_names is None:
            self.feature_names = {idx: feature}
        self.n_features += 1
        return idx