The XML test file uses images and annotations of objects to verify the accuracy of detection of your object. The file can be generated using imglab, as with training XML. It should contain data similar to, but not identical to your training dataset.
Killed message is related to memory issues. On Linux, this is the result of OOM Killer. Since the images are so large, your machine has run out of memory and killed the learning process.
Possible solutions:
1) Set up the OOM killer to allow dlib to use more memory.
2) Reduce images if possible for your application.
3) Use a machine with a large amount of RAM. If you don't have one, AWS offers several EC2 options at a relatively low cost.
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