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After much reading and online research, the solution was to shut down SageMaker Studio (File -> Shut Down -> Shut Down All). For some reason, I had to shut it down twice for the model explainability report to show up. Probably some pending updates of SageMaker Studio were not done on my behalf.
answered 2 years ago
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I Shut Down the Studio Kernel multiple times. It didn't resolve the problem for me. I check the output folder in S3 and it doesn't contain explainability report either.