How do I define R in this piece of code ?

Look at your code, look at the error message.

print("The R2 value of the training set is : {}".format(R2.train))

NameError: name 'R2' is not defined

So R2.train is what causes the error.
From the first line of code you show us:

R2_train=round(reg_all.score(xtrain,ytrain),3)

You have a variable called R2_train, and the error line is referencing R2.train
So at a guess, you meant to type this:

print("The R2 value of the training set is : {}".format(R2_train))

You should expect to get syntax errors every day, probably many times a day while you are coding - we all do regardless of how much experience we have! Sometimes, we misspell a variable, or a keyword; sometimes we forget to close a string or a code block. Sometimes the cat walks over your keyboard and types something really weird. Sometimes we just forget how many parameters a method call needs.

We all make mistakes.

And because we all do it, we all have to fix syntax errors - and it's a lot quicker to learn how and fix them yourself than to wait for someone else to fix them for you! So invest a little time in learning how to read error messages, and how to interpret your code as written in the light of what the compiler is telling you is wrong - it really is trying to be helpful!

So read this: How to Write Code to Solve a Problem, A Beginner's Guide Part 2: Syntax Errors[^] - it should help you next time you get a compilation error!