title: Python lightgbm feature_importance() error?
body: <p>1.Environment info</p>
  
  <p>Operating System: Windows
  Python version: Python 2.7.13</p>
  
  <p>2.Error Message:</p>
  
  <p>ValueError: No JSON object could be decoded</p>
  
  <pre><code>lgb_train = lgb.Dataset(X_train, y_train)
  lgb_eval = lgb.Dataset(X_test, y_test, reference=lgb_train)
  params = {
  'task':'train',
  'boosting':'gbdt',
  'objective':'binary',
  'metric':{'l2', 'auc'},
  'num_leaves': 62,
  'learning_rate': 0.05,
  'feature_fraction': 0.9,
  'bagging_fraction': 0.8,
  'bagging_freq': 5,
  'verbose': 20
  }
  gbm = lgb.train(params,
  lgb_train,
  num_boost_round=250,
  valid_sets=lgb_eval)
  
  print('Start predicting...')
  
  y_pred = gbm.predict(X_test, num_iteration=gbm.best_iteration)
  y_pred = np.round(y_pred)
  
  print gbm.feature_importance()
  </code></pre>