Currently you can do inference in a shipped game but you can’t really do training at runtime (technically you can but you have to have the Engine’s python env installed on the device where the UE process is running - we use this for headless training on a dev workstation for example).
For UE 5.5, I’m currently working on making training at shipping time more feasible by changing up how the UE process connects to the training process. It will be possible to run training on a server so you can, e.g. have an agent gathering data on any device and then sending this data up to a game server where you can train and then sync the model back down to the client device.
Ultra long-term we could maybe work out training within the UE process itself but this might never come so do not count on that.
Brendan