Sklearn-GMM on large datasets
As Andreas Mueller mentioned, GMM doesn't have partial_fit yet which will allow you to train the model in an iterative fashion. But you can make use of warm_start by setting it's value to True when you create the GMM object. This allows you to iterate over batches of data and continue training the model from where you left it in the last iteration.
Hope this helps!
I have a large data-set (I can't fit entire data on memory). I want to fit a GMM on this data set. 
Can I use GMM.fit() (sklearn.mixture.GMM) repeatedly on mini batch of data ??