How to deal with categorical feature of very high cardinality?
This is an old question. I am surprised that I don't see anyone mentioned Mean Encoding (a.k.a Target Encoding). It is very popular in supervised learning problems. Besides, I have seen people use frequency or the cdf of the frequency (to avoid noise generated by heavy-tailed pdf), and they achieved pretty good results with lightGBM. However, i cannot really explain why it works rigorously.