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The scikit learn framework doesn't seem to support the 'local' instance type for either training jobs or the prediction endpoint.
Any call like sagemaker.sklearn.estimator.SKLearn(..., train_instance_type='local') or sklearn_estimator.deploy(..., instance_type='local') results in botocore.exceptions.ClientError: An error occurred (ValidationException) when calling the CreateTrainingJob operation: 1 validation error detected: Value 'local' at 'resourceConfig.instanceType' failed to satisfy constraint.