A simple demo for using custom data iterator with XGBoost. The feature is still experimental and not ready for production use. If you are not familiar with C API, please read its introduction in our tutorials and visit the basic demo first.
In the example, we define a custom data iterator with 2 methods: reset and next. The
next method passes data into XGBoost and tells XGBoost whether the iterator has reached
its end, and the reset method resets iterations. One important detail when using the C
API for data iterator is users need to make sure that the data passed into next method
must be kept in memory until the next iteration or reset is called. The external memory
DMatrix is not limited to training, but also valid for other features like prediction.