I have a very large data set and I can’t afford to read the entire data set in. So, I’m thinking of reading only one chunk of it to train but I have no idea how to do it. Any thought will be appreciated.

If you only want to read the first 999,999 (non-header) rows:

read_csv(..., nrows=999999)

If you only want to read rows 1,000,000 … 1,999,999

read_csv(..., skiprows=1000000, nrows=999999)

nrows : int, default None Number of rows of file to read. Useful for reading pieces of large files*

skiprows : list-like or integer Row numbers to skip (0-indexed) or number of rows to skip (int) at the start of the file

and for large files, you’ll probably also want to use chunksize:

chunksize : int, default None Return TextFileReader object for iteration

pandas.io.parsers.read_csv documentation