Feature: Option to set the tracking URI for MLflowCallback. (#29032)

* Added option to set tracking URI for MLflowCallback.

* Added option to set tracking URI for MLflowCallback.

* Changed  to  in docstring.

src/transformers/integrations/integration_utils.py

@@ -959,6 +959,9 @@ def setup(self, args, state, model):
             remote server, e.g. s3 or GCS. If set to `True` or *1*, will copy each saved checkpoint on each save in
             [`TrainingArguments`]'s `output_dir` to the local or remote artifact storage. Using it without a remote
             storage will just copy the files to your artifact location.
+        - **MLFLOW_TRACKING_URI** (`str`, *optional*, defaults to `""`):
+            Whether to store runs at a specific path or remote server. Default to an empty string which will store runs
+            at `./mlruns` locally.
         - **MLFLOW_EXPERIMENT_NAME** (`str`, *optional*, defaults to `None`):
             Whether to use an MLflow experiment_name under which to launch the run. Default to `None` which will point
             to the `Default` experiment in MLflow. Otherwise, it is a case sensitive name of the experiment to be
@@ -978,14 +981,22 @@ def setup(self, args, state, model):
         """
         self._log_artifacts = os.getenv("HF_MLFLOW_LOG_ARTIFACTS", "FALSE").upper() in ENV_VARS_TRUE_VALUES
         self._nested_run = os.getenv("MLFLOW_NESTED_RUN", "FALSE").upper() in ENV_VARS_TRUE_VALUES
+        self._tracking_uri = os.getenv("MLFLOW_TRACKING_URI", "")
         self._experiment_name = os.getenv("MLFLOW_EXPERIMENT_NAME", None)
         self._flatten_params = os.getenv("MLFLOW_FLATTEN_PARAMS", "FALSE").upper() in ENV_VARS_TRUE_VALUES
         self._run_id = os.getenv("MLFLOW_RUN_ID", None)
         logger.debug(
             f"MLflow experiment_name={self._experiment_name}, run_name={args.run_name}, nested={self._nested_run},"
-            f" tags={self._nested_run}"
+            f" tags={self._nested_run}, tracking_uri={self._tracking_uri}"
         )
         if state.is_world_process_zero:
+            self._ml_flow.set_tracking_uri(self._tracking_uri)
+
+            if self._tracking_uri == "":
+                logger.debug(f"MLflow tracking URI is not set. Runs will be stored at {os.path.realpath('./mlruns')}")
+            else:
+                logger.debug(f"MLflow tracking URI is set to {self._tracking_uri}")
+
             if self._ml_flow.active_run() is None or self._nested_run or self._run_id:
                 if self._experiment_name:
                     # Use of set_experiment() ensure that Experiment is created if not exists