[R] Add a compatibility layer to load Booster object from an old RDS file (#5940)

* [R] Add a compatibility layer to load Booster from an old RDS
* Modify QuantileHistMaker::LoadConfig() to be backward compatible with 1.1.x
* Add a big warning about compatibility in QuantileHistMaker::LoadConfig()
* Add testing suite
* Discourage use of saveRDS() in CRAN doc

R-package/R/utils.R

@@ -308,6 +308,20 @@ xgb.createFolds <- function(y, k = 10)
 #' @name xgboost-deprecated
 NULL
 
+#' Do not use saveRDS() for long-term archival of models. Use xgb.save() instead.
+#'
+#' It is a common practice to use the built-in \code{saveRDS()} function to persist R objects to
+#' the disk. While \code{xgb.Booster} objects can be persisted with \code{saveRDS()} as well, it
+#' is not advisable to use it 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{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{xgb.save()} instead. For more details and
+#' explanation, consult the page
+#' \url{https://xgboost.readthedocs.io/en/latest/tutorials/saving_model.html}.
+#'
+#' @name a-compatibility-note-for-saveRDS
+NULL
+
 # Lookup table for the deprecated parameters bookkeeping
 depr_par_lut <- matrix(c(
   'print.every.n', 'print_every_n',