When it comes to trees, the API for handling categoricals is simpler than the implementation. Traditionally, tree-based models' handling of categorical variables differs from both ordinal and one-hot encoding, while both of those will work reasonably well for many problems. We are working on implementing categorical handling in trees ( https://github.com/scikit-learn/scikit-learn/issues/15550, https://github.com/scikit-learn/scikit-learn/pull/12866)...
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