Python xgboost.callback.LearningRateScheduler callback does not work with xgboost.cv()

[trevoryann]

Using the new style callback from xgboost.cv() throws an exception when attempting to change the learning rate. This is with xgboost 1.3.3.

Cut down version of the code:

callbacks = [xgboost.callback.LearningRateScheduler(cb_learning_rate_fn)]
xgb.cv(dict(param), dtrain, n_trees, nfold=nfolds, folds=folds, seed=42,
                             metrics=('auc', 'error', 'logloss'),
                             verbose_eval=False,
                             callbacks=callbacks)

throws an exception:

Traceback (most recent call last):
<top of callstack>
    err_profile = xgb.cv(dict(param), dtrain, n_trees, nfold=nfolds, folds=folds, seed=42,
  File "<venv-dir>/lib/python3.8/site-packages/xgboost/training.py", line 517, in cv
    should_break = callbacks.after_iteration(booster, i, dtrain, None)
  File "<venv-dir>/lib/python3.8/site-packages/xgboost/callback.py", line 428, in after_iteration
    ret = any(c.after_iteration(model, epoch, self.history)
  File "<venv-dir>/lib/python3.8/site-packages/xgboost/callback.py", line 428, in <genexpr>
    ret = any(c.after_iteration(model, epoch, self.history)
  File "<venv-dir>/lib/python3.8/site-packages/xgboost/callback.py", line 458, in after_iteration
    model.set_param('learning_rate', self.learning_rates(epoch))
AttributeError: '_PackedBooster' object has no attribute 'set_param'