title: How to split data on balanced training set and test set on sklearn
body: <p>I am using sklearn for multi-classification task. I need to split alldata into train_set and test_set. I want to take randomly the same sample number from each class.
  Actually, I amusing this function</p>
  
  <pre><code>X_train, X_test, y_train, y_test = cross_validation.train_test_split(Data, Target, test_size=0.3, random_state=0)
  </code></pre>
  
  <p>but it gives unbalanced dataset! Any suggestion.</p>