The attribute error comes from this placeholder class 
<https://github.com/microsoft/LightGBM/blob/602528315c6d5e4ae1e8f5de106cf56cf5869b16/python-package/lightgbm/compat.py#L50-L53>
 
which is used if one of these sklearn imports 
<https://github.com/microsoft/LightGBM/blob/602528315c6d5e4ae1e8f5de106cf56cf5869b16/python-package/lightgbm/compat.py#L9-L47>
 
fail. The placeholder class is a bug in LightGBM’s optional dependency 
handling but that’s only obfuscating the real issue which is figuring out 
why those sklearn imports fail in the first place. The easiest way to do 
that would be to edit your local copy of LightGBM, inserting a raise here 
<https://github.com/microsoft/LightGBM/blob/602528315c6d5e4ae1e8f5de106cf56cf5869b16/python-package/lightgbm/compat.py#L48>
 
then rebuild and post the new error message here.
​

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