Motivation

Due to the recent release of pytorch-lightning, Checks (Integration) fails on the master branch
https://github.com/optuna/optuna/actions/runs/3381750055.

Suggestion

The changelog says

Renamed training_type_plugin file to strategy

So we can replace training_type_plugin with strategy in the integration file.

Additional context (optional)

The pytorch-lightning integration is not tested while in optuna #3418.