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May I know which instance type you are using for training locally on your notebook instance. Including factors that influence training performance, hardware spec of the training node is very critical. You might be either getting bottlenecked on CPU, Storage or Memory. See here for more details
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I get the same issue when using the Sagemaker SDK (Tensorflow estimator) vs training using the Sagemaker with jupyter notebook. Sagemaker SDK (Tensorflow estimator) is much slower (3X slower) with exactly the same: compute power, model and data.
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