[scikit-learn] Multi-output regressor and sklearn's RFE module

[Navid Shervani-Tabar]

Hello,

I have a question regarding sklearn's RFE module. I have a multi-output
regressor and I would like to reduce dimensionality of input using RFE.
However, it seems that it is not possible to have multi-dimensional output
when using RFE. I was wondering if there is a workaround for this or there
is something conceptually wrong about it. You can find a minimal working
code at the following link.

https://stackoverflow.com/questions/57060003/multi-output-regressor-and-sklearns-rfe-module

Thanks!
Navid
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