add a warning about xgboost version support

Author: lopuhin

docs/source/libraries/xgboost.rst

@@ -6,7 +6,9 @@ XGBoost
 XGBoost_ is a popular Gradient Boosting library with Python interface.
 eli5 supports :func:`eli5.explain_weights` and :func:`eli5.explain_prediction`
 for XGBClassifer_, XGBRegressor_ and Booster_ estimators. It is tested for
-xgboost >= 0.6a2.
+xgboost >= 0.6a2 and < 2.0.0.
+Versions starting from 2.0.0 likely produce incorrect results in
+:func:`eli5.explain_prediction`, and will issue a warning.
 
 .. _XGBoost: https://github.com/dmlc/xgboost
 .. _XGBClassifer: https://xgboost.readthedocs.io/en/latest/python/python_api.html#xgboost.XGBClassifier

eli5/xgboost.py

@@ -1,9 +1,11 @@
-from functools import partial
 import re
+import warnings
+from functools import partial
 from typing import Any, Optional, Pattern, Union
 
 import numpy as np
 import scipy.sparse as sp
+import xgboost
 from xgboost import (
     XGBClassifier,
     XGBRegressor,
@@ -147,6 +149,11 @@ def explain_prediction_xgboost(
     changes from parent to child.
     Weights of all features sum to the output score of the estimator.
     """
+    if not xgboost.__version__.startswith(('0.', '1.')):
+        warnings.warn(
+            'This explanation might be incoorrect, '
+            'only xgboost < 2.0.0 is known to work correctly')
+
     booster, is_regression = _check_booster_args(xgb, is_regression)
     xgb_feature_names = _get_booster_feature_names(booster)
     vec, feature_names = handle_vec(