Performing feature selection in multi targeted regression dataset

[sametsoekel]

Hi,

I would like to apply lofo in my multi targeted regression dataset, here is a reprex of my data;

from sklearn.datasets import make_regression

X,y = make_regression(n_samples=int(1e3),n_features=5,n_targets=4)

some models (like CatBoost) allow multi targets without changing any parameter.

Since lofo.Dataset takes target= argument as string, I couldn't perform feature selection with lofo-importance.

Can you add this compatibility ?

Thanks

[aerdem4]

Can you please share the code for me to be able to reproduce the issue?