Demo/PoC only - xgboost/generalized caching support for model_selection #606
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This is a PoC meant to spark discussion for Issue #605 .
It allows users to pass a custom extraction function (extract_fn) to gridsearch, which will allow them to cache custom datatypes. It includes an example of using this to support Dask DMatrix objects. It would need a lot of cleanup before merging, but it shows the general idea.
For a wide (1000 columns x 100k rows) training matrix for a classification problem with max_depth=4, this shaves 45% of the runtime off a hyperparameter sweep on a single worker.