Hi, I'm trying to use early stopping and eval_set arguments of lgbm but got stuck on MLForecast.fit function, which doesn't have an argument for passing eval_set. I know you can do custom training and plug in the model back to the MLForecast but that way I lost the functionality of conformal prediction that came from MLForecast.cv. Is there any work around for this?

In cv the best iteration will be different for each fold, what's your plan there?

I don't plan to use cv. I'm trying to do validation and early stopping based on a specified eval set.