[R] Provide better guidance for persisting XGBoost model (#5964)

* [R] Provide better guidance for persisting XGBoost model

* Update saving_model.rst

* Add a paragraph about xgb.serialize()

R-package/man/a-compatibility-note-for-saveRDS-save.Rd

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+% Generated by roxygen2: do not edit by hand
+% Please edit documentation in R/utils.R
+\name{a-compatibility-note-for-saveRDS-save}
+\alias{a-compatibility-note-for-saveRDS-save}
+\title{Do not use \code{\link[base]{saveRDS}} or \code{\link[base]{save}} for long-term archival of
+models. Instead, use \code{\link{xgb.save}} or \code{\link{xgb.save.raw}}.}
+\description{
+It is a common practice to use the built-in \code{\link[base]{saveRDS}} function (or
+\code{\link[base]{save}}) to persist R objects to the disk. While it is possible to persist
+\code{xgb.Booster} objects using \code{\link[base]{saveRDS}}, it is not advisable to do so if
+the model is to be accessed in the future. If you train a model with the current version of
+XGBoost and persist it with \code{\link[base]{saveRDS}}, the model is not guaranteed to be
+accessible in later releases of XGBoost. To ensure that your model can be accessed in future
+releases of XGBoost, use \code{\link{xgb.save}} or \code{\link{xgb.save.raw}} instead.
+}
+\details{
+Use \code{\link{xgb.save}} to save the XGBoost model as a stand-alone file. You may opt into
+the JSON format by specifying the JSON extension. To read the model back, use
+\code{\link{xgb.load}}.
+
+Use \code{\link{xgb.save.raw}} to save the XGBoost model as a sequence (vector) of raw bytes
+in a future-proof manner. Future releases of XGBoost will be able to read the raw bytes and
+re-construct the corresponding model. To read the model back, use \code{\link{xgb.load.raw}}.
+The \code{\link{xgb.save.raw}} function is useful if you'd like to persist the XGBoost model
+as part of another R object.
+
+Note: Do not use \code{\link{xgb.serialize}} to store models long-term. It persists not only the
+model but also internal configurations and parameters, and its format is not stable across
+multiple XGBoost versions. Use \code{\link{xgb.serialize}} only for checkpointing.
+
+For more details and explanation about model persistence and archival, consult the page
+\url{https://xgboost.readthedocs.io/en/latest/tutorials/saving_model.html}.
+}
+\examples{
+data(agaricus.train, package='xgboost')
+bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, max_depth = 2,
+               eta = 1, nthread = 2, nrounds = 2, objective = "binary:logistic")
+
+# Save as a stand-alone file; load it with xgb.load()
+xgb.save(bst, 'xgb.model')
+bst2 <- xgb.load('xgb.model')
+
+# Save as a stand-alone file (JSON); load it with xgb.load()
+xgb.save(bst, 'xgb.model.json')
+bst2 <- xgb.load('xgb.model.json')
+
+# Save as a raw byte vector; load it with xgb.load.raw()
+xgb_bytes <- xgb.save.raw(bst)
+bst2 <- xgb.load.raw(xgb_bytes)
+
+# Persist XGBoost model as part of another R object
+obj <- list(xgb_model_bytes = xgb.save.raw(bst), description = "My first XGBoost model")
+# Persist the R object. Here, saveRDS() is okay, since it doesn't persist
+# xgb.Booster directly. What's being persisted is the future-proof byte representation
+# as given by xgb.save.raw().
+saveRDS(obj, 'my_object.rds')
+# Read back the R object
+obj2 <- readRDS('my_object.rds')
+# Re-construct xgb.Booster object from the bytes
+bst2 <- xgb.load.raw(obj2$xgb_model_bytes)
+
+}