CatBoost create a directory for persisting his state. But the Run does not allow you to create file anywhere.
If the state doesn't need to be persisted, the
/tmpdirectory is the way to go.
If the state does need to be persisted, store everything inside the
model_directoryas this folder will be reused for the Out-of-Sample phase.
info_path = os.path.join(model_directory, 'catboost_info')