[FR] Add MLFlow Auto Logging Support

[ZeroCool2u]

I'm sure internally Google has some great experiment tracking infrastruture, but externally, keeping track of experiments is hard, especially with tree based models that have a lot of hyper parameters, and MLFlow is the defacto standard.

It would be awesome if we could add official support for MLFlow integration.

I've submitted a request to the MLFlow repo as well here.

Plus, if Spark support is added for distributed training, this integration would go well in the databricks environments where MLFlow is typically available.

[ricor07]

Hello, I'd like to join the project by working on this. Could you assign me the issue? Thank you

[rstz]

Hi, feel free to work on this :)