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I don't believe Training jobs are a supported resource in CloudFormation (which is why you're seeing the unsupported type error). This here is the list of supported SageMaker resources - https://docs.aws.amazon.com/AWSCloudFormation/latest/UserGuide/AWS_SageMaker.html
If it is essential for you to create the job through CloudFormation, you could probably create a Lambda custom resource and use the boto3 SDK to create a training job. Reference - https://docs.aws.amazon.com/AWSCloudFormation/latest/UserGuide/template-custom-resources-lambda.html
answered a year ago
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