My data doesn't fit into memory can I do :

model=my_model

for i in range(20)

model.fit(X_i,Y_i)

This will delete the first 19 fit. and keep only the last one. How can I avoid this? Can I retrain a model saved and loaded? Thank you

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Some models have a "warm_start" parameter, where it can initialize model parameters with the previous solution from **fit()**.

See for instance SGDClassifier

Hope this answer helps you! For more details, Scikit Learn Algorithm Cheat Sheet.