Fixes #7107 .

Description

This PR added support to optionally execute validation at training start first, this is useful for transfer learning to validate the initial model.

Types of changes

• Non-breaking change (fix or new feature that would not break existing functionality).
• Breaking change (fix or new feature that would cause existing functionality to change).
• New tests added to cover the changes.
• Integration tests passed locally by running ./runtests.sh -f -u --net --coverage.
• Quick tests passed locally by running ./runtests.sh --quick --unittests --disttests.
• In-line docstrings updated.
• Documentation updated, tested make html command in the docs/ folder.