ENH: Make XGBModel pickleable.

wrapper/xgboost.py

@@ -15,6 +15,7 @@ import re
 import ctypes
 import platform
 import collections
+from tempfile import NamedTemporaryFile
 
 import numpy as np
 import scipy.sparse
@@ -839,6 +840,31 @@ class XGBModel(XGBModelBase):
 
         self._Booster = Booster()
 
+    def __getstate__(self):
+        # can't pickle ctypes pointers so save _Booster directly
+        this = self.__dict__.copy()  # don't modify in place
+
+        # delete = False for x-platform compatibility
+        # https://bugs.python.org/issue14243
+        with NamedTemporaryFile(mode="wb", delete=False) as tmp:
+            this["_Booster"].save_model(tmp.name)
+            tmp.close()
+            booster = open(tmp.name, "rb").read()
+            os.remove(tmp.name)
+        this.update({"_Booster": booster})
+
+        return this
+
+    def __setstate__(self, state):
+        with NamedTemporaryFile(mode="wb", delete=False) as tmp:
+            tmp.write(state["_Booster"])
+            tmp.close()
+            booster = Booster(model_file=tmp.name)
+            os.remove(tmp.name)
+
+        state["_Booster"] = booster
+        self.__dict__.update(state)
+
     def get_xgb_params(self):
         xgb_params = self.get_params()