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When installing scikit-learn using the pip installer from the Python install that you get from the Microsoft Store (when typing "python" in a commandline prompt without anaconda/miniconda), I get the following message:
C:\Users\olivi>C:\Users\olivi\AppData\Local\Microsoft\WindowsApps\python.exe -m pip install scikit-learn
Collecting scikit-learn
Using cached https://files.pythonhosted.org/packages/9d/10/1dd2e3436e13402cc2b16c61b5f7407fb2e8057dcc18461db0d8e3523202/scikit_learn-0.22-cp37-cp37m-win_amd64.whl
Requirement already satisfied: numpy>=1.11.0 in c:\users\olivi\appdata\local\packages\pythonsoftwarefoundation.python.3.7_qbz5n2kfra8p0\localcache\local-packages\python37\site-packages (from scikit-learn) (1.17.4)
Requirement already satisfied: joblib>=0.11 in c:\users\olivi\appdata\local\packages\pythonsoftwarefoundation.python.3.7_qbz5n2kfra8p0\localcache\local-packages\python37\site-packages (from scikit-learn) (0.14.1)
Requirement already satisfied: scipy>=0.17.0 in c:\users\olivi\appdata\local\packages\pythonsoftwarefoundation.python.3.7_qbz5n2kfra8p0\localcache\local-packages\python37\site-packages (from scikit-learn) (1.4.0)
Installing collected packages: scikit-learn
ERROR: Could not install packages due to an EnvironmentError: [Errno 2] No such file or directory: 'C:\\Users\\olivi\\AppData\\Local\\Packages\\PythonSoftwareFoundation.Python.3.7_qbz5n2kfra8p0\\LocalCache\\local-packages\\Python37\\site-packages\\sklearn\\datasets\\tests\\data\\openml\\292\\api-v1-json-data-list-data_name-australian-limit-2-data_version-1-status-deactivated.json.gz'
I suspect this is caused by the very long filename but I am not 100% sure.