Let’s say we fit a model that includes early stopping with a validation set and we find the
best_ntree_limit is 1,000 but I set
early_stopping_rounds to be 500. Therefore our model object has 1,500 trees encoded.
We would like to get feature importances back from this model but only for the first 1,000 trees - the optimal model - and not the overfit model with 1,500 trees. Is that possible in either Python or R API without having to calculate ourselves?