Fix for XGBoost model builder (#841) (#878)

(cherry picked from commit 2fcd1f7)

Co-authored-by: KalyanovD <[email protected]>

Author: mergify[bot]

src/gbt_convertors.pyx

@@ -121,6 +121,12 @@ def get_gbt_model_from_xgboost(booster: Any) -> Any:
             self.parent_id = parent_id
             self.position = position
 
+    # Release Note for XGBoost 1.5.0: Python interface now supports configuring 
+    # constraints using feature names instead of feature indices.
+    if booster.feature_names is None:
+        lst = [*range(booster.num_features())]
+        booster.feature_names = [str(i) for i in lst]
+
     trees_arr = booster.get_dump(dump_format="json")
     xgb_config = json.loads(booster.save_config())