Deprecation warning for lists passed into DMatrix (#3970)

* Ensure lists cannot be passed into DMatrix

The documentation does not include lists as an allowed type for the data inputted into DMatrix. Despite this, a list can be passed in without an error. This change would prevent a list form being passed in directly.

python-package/xgboost/core.py

@@ -14,6 +14,7 @@
 import os
 import re
 import sys
+import warnings
 
 import numpy as np
 import scipy.sparse
@@ -381,6 +382,10 @@ def __init__(self, data, label=None, missing=None,
         label = _maybe_dt_array(label)
         weight = _maybe_dt_array(weight)
 
+        if isinstance(data, list):
+            warnings.warn('Initializing DMatrix from List is deprecated.',
+                          DeprecationWarning)
+
         if isinstance(data, STRING_TYPES):
             self.handle = ctypes.c_void_p()
             _check_call(_LIB.XGDMatrixCreateFromFile(c_str(data),