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I am getting this error - RuntimeWarning: More than 20 figures have been opened. Figures created through the pyplot interface (matplotlib.pyplot.figure) are retained until explicitly closed and may consume too much memory. (To control this warning, see the rcParam figure.max_open_warning). Consider using matplotlib.pyplot.close(). But I am using plt.close(fig) for each of my figures as shown below:

How can I close my figure so I don't get this warning?

In that code, any exception between when you create the plot and close it will leave the plot behind. You need to make sure that you close your plots, even if there is an exception.