DOC: fix ES01,RT03,SA01 for pandas.MultiIndex.set_levels (#59367)

Author: tuhinsharma121

ci/code_checks.sh

@@ -75,7 +75,6 @@ if [[ -z "$CHECK" || "$CHECK" == "docstrings" ]]; then
         -i "pandas.MultiIndex.names SA01" \
         -i "pandas.MultiIndex.remove_unused_levels RT03,SA01" \
         -i "pandas.MultiIndex.reorder_levels RT03,SA01" \
-        -i "pandas.MultiIndex.set_levels RT03,SA01" \
         -i "pandas.MultiIndex.sortlevel PR07,SA01" \
         -i "pandas.MultiIndex.to_frame RT03" \
         -i "pandas.NA SA01" \

pandas/core/indexes/multi.py

@@ -933,6 +933,19 @@ def set_levels(
         """
         Set new levels on MultiIndex. Defaults to returning new index.
 
+        The `set_levels` method provides a flexible way to change the levels of a
+        `MultiIndex`. This is particularly useful when you need to update the
+        index structure of your DataFrame without altering the data. The method
+        returns a new `MultiIndex` unless the operation is performed in-place,
+        ensuring that the original index remains unchanged unless explicitly
+        modified.
+
+        The method checks the integrity of the new levels against the existing
+        codes by default, but this can be disabled if you are confident that
+        your levels are consistent with the underlying data. This can be useful
+        when you want to perform optimizations or make specific adjustments to
+        the index levels that do not strictly adhere to the original structure.
+
         Parameters
         ----------
         levels : sequence or list of sequence
@@ -945,6 +958,14 @@ def set_levels(
         Returns
         -------
         MultiIndex
+            A new `MultiIndex` with the updated levels.
+
+        See Also
+        --------
+        MultiIndex.set_codes : Set new codes on the existing `MultiIndex`.
+        MultiIndex.remove_unused_levels : Create new MultiIndex from current that
+            removes unused levels.
+        Index.set_names : Set Index or MultiIndex name.
 
         Examples
         --------