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No, converting a RayDMatrix to a DMatrix would go against the purpose of the former. RayDMatrix is a wrapper around a data source that allows it to be sharded for each worker. Each of the workers then internally initializes a DMatrix from its shard of the data. If you want to modify the actual training code, refer to #248 (comment)
Is there an API to use to convert the two types easily? If so, any examples available?
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