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Hello Klimok,
Thanks for sharing your insights.
You can use a TFRecord data format to train models using custom algorithms in SageMaker. However, it is not included in the list of supported training data formats for built-in algorithms which can be found here.
https://docs.aws.amazon.com/sagemaker/latest/dg/cdf-training.html#cdf-common-content-types
Classification was meant in a general sense which could include image classification, binary classification, and so on.
Let me know if this helps.
Regards,
Carlo @ Tutorials Dojo
