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CI: Add lgtm.com integration to pull requests #20589

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@jschendel

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@jschendel

Seems like lgtm.com integration could be useful. Was helpful in identifying an obscure potential issue fixed in #20563, and I've used it to find a couple other minor things.

Looks like both numpy and scikit-learn are using it as well. Not sure exactly what their experience with it has been, but at the very least scikit-learn has kept it around for a while now.

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