title: sklearn: create sparse feature vector from multiple choice features
body: <p>I have data which looks like this:</p>
  
  <pre><code>20003.0, 20003.1, 20004.0, 20004.1, 34
  1, 2, 3, 4, 5
  </code></pre>
  
  <p>Where the columns with ending .* are multiple choice and the values they take on are categorical.</p>
  
  <p>Ideally, I would be able to pass <code>[{'20003': ['1', '2'], '20004': ['3', '4'], '34': 5}]</code> to <code>DictVectorizer</code> but this is not supported yet.</p>
  
  <p>How should this data be loaded to create sparse feature vectors?</p>