Nested MLflow logging with cross-validation
First of all: I apologize for not using the bug/feature request templates, I believe I'm having more of a general question here.

I was wondering if there is any way in which the `MLflowCallback` can be **used in conjunction with a cross-validation training procedure**? 

In each split, I am initializing a new model, and using a new training and test dataset. Also, I am initializing a new `Trainer` with respective `TrainingArguments` in each split. **Ideally I would use a parent run, and log the run of each split as a nested child run.** I have attached the relevant code snippet:

    mlflow.set_tracking_uri(logging_uri_mlflow)
    mlflow.set_experiment('NLP Baseline')

    # Start a parent run so that all CV splits are tracked as nested runs
    mlflow.start_run(run_name='Parent Run')

    for indices in train_test_splits:
        # Initialize tokenizer and model
        tokenizer = AutoTokenizer.from_pretrained(model_type)
        model = AutoModelForSequenceClassification.from_pretrained(model_type, num_labels=len(unique_tags))

        # Encode all text evidences, pad and truncate to max_seq_len
        train_evidences = tokenizer(evidences_text[indices["train_idx"]].tolist(), truncation=True, padding=True)
        test_evidences = tokenizer(evidences_text[indices["test_idx"]].tolist(), truncation=True, padding=True)
        train_labels = labels[indices["train_idx"]].tolist()
        test_labels = labels[indices["test_idx"]].tolist()
        train_dataset = CustomDataset(encodings=train_evidences, labels=train_labels)
        test_dataset = CustomDataset(encodings=test_evidences, labels=test_labels)

        # Note that due to the randomization in the batches, the training/evaluation is slightly
        # different every time
        training_args = TrainingArguments(
            # label_names
            output_dir=output_dir,
            num_train_epochs=epochs,  # total number of training epochs
            logging_steps=100,
            report_to=["mlflow"],  # log via mlflow
            do_train=True,
            do_predict=True,
        )

        # Initialize Trainer based on the training dataset
        trainer = Trainer(
            model=model,
            args=training_args,
            train_dataset=train_dataset,
        )
        # Train
        trainer.train()

        # Make predictions for the test dataset
        predictions = trainer.predict(test_dataset=test_dataset).predictions
        predicted_labels = np.argmax(predictions, axis=1)
        # Use macro average for now
        f1_scores.append(f1_score(test_labels, predicted_labels, average="macro"))

    logger.info(f'Mean f1-score: {np.mean(f1_scores)}')
    logger.info(f'Std f1-score: {np.std(f1_scores)}')

    # End parent run
    mlflow.end_run()

However, this results in the following exception: 
`Exception: Run with UUID d2bf3cf7cc7b4e359f4c4db098604350 is already active. To start a new run, first end the current run with mlflow.end_run(). To start a nested run, call start_run with nested=True`

**I assume that the `nested=True` parameter is required in the `self._ml_flow.start_run()` call in the `setup()` function of `MLflowCallback`?** I tried to remove the MLflowCallback from the Trainer and add a custom callback class that overrides the default `TrainerCallback` in the same way that `MLflowCallback` does, except for using `self._ml_flow.start_run(nested=True)`. Still, that results in separate individual runs being logged, rather than a nested parent run with child runs. 

Are there any best practices for using huggingface models with mlflow logging in a cross-validation procedure? Thanks a lot in advance for any advice or useful comments on that! :smile: 
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