How to select features which have non zero importance using SKLearn's Decision Trees Classifier? I need to discard all the features which have zero importance and keep only those features which have non zero importance while implementing DecisionTreesClassifier. The feature importance here is determined using clf.feature_importance_ parameter of DecisionTreesClassifier. How can this be done?
You should use a sklearn.feature_selection.SelectFromModel instance: https://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.SelectFromModel.html

You can specify the threshold that you want when you want to select features. You can add this transformer in a scikit-learn pipeline as well.