title: GridSearchCV is very slow to estimate my model
body: <p><strong>I am using GridSearchCV on an MLP Classifier, this is my code...</strong></p>
  
  <pre><code>normalized_features.shape # (50000,784)
  len(labels)               #  50000
  X_train, X_test, Y_train, Y_test = train_test_split(normalized_features, labels, test_size=0.2)
  mlp = MLPClassifier(max_iter=100)
  parameter_space = {
      'hidden_layer_sizes': [(50,50,50), (50,100,50), (100,)],
      'activation': ['tanh', 'relu'],
      'solver': ['sgd', 'adam'],
      'alpha': [0.0001, 0.05],
      'learning_rate': ['constant','adaptive'],
  }
  </code></pre>
  
  <p><strong>This is the stage where I got struck, It's been more than two hours and still it keeps on loading and throws warnings</strong></p>
  
  <pre><code>clf = GridSearchCV(mlp, parameter_space, n_jobs=-1, cv=10)
  clf.fit(X_train, Y_train)
  </code></pre>
  
  <p><em>Warnings:</em></p>
  
  <blockquote>
    <p>/usr/local/lib/python3.6/dist-packages/joblib/externals/loky/process_executor.py:706: UserWarning: A worker stopped while some jobs were given to the executor. This can be caused by a too short worker timeout or by a memory leak.
      "timeout or by a memory leak.", UserWarning</p>
  </blockquote>
  
  <p>Can anyone please help me out with this and let me know where did I go wrong!
  Thank you in advance.</p>