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Removing trees from a model #5531

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@ldesreumaux

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@ldesreumaux

As a follow up to #2281, I think that it would be great if XGBoost supported the removal of trees from a model.

It would allow the implementation (with callbacks) of adaptive learning rate strategies that need to abandon some trees before adjusting the learning rate. More generally, it would allow to implement various "ensemble pruning" methods.

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