[docs] document how to pass multi-value params from Python and R (fixes #4345)

docs/Parameters.rst

@@ -28,6 +28,26 @@ By using config files, one line can only contain one parameter. You can use ``#`
 
 If one parameter appears in both command line and config file, LightGBM will use the parameter from the command line.
 
+For the Python and R packages, any parameters that accept a list of values (usually they have ``multi-xxx`` type, e.g. ``multi-int`` or ``multi-double``) can be specified in those languages' default array types.
+For example, ``monotone_constraints`` can be specified as follows.
+
+**Python**
+
+.. code-block:: python
+
+   params = {
+      "monotone_constraints": [-1, 0, 1]
+   }
+
+
+**R**
+
+.. code-block:: r
+
+   params <- list(
+      monotone_constraints = c(-1, 0, 1)
+   )
+
 .. start params list
 
 Core Parameters