title: GridsearchCV with big dataset
body: <p>I am trying to build a classifier with <code>GridSearchCV</code> with a huge dataset (2M records * 500 features and growing, expecting at least 15M in total). However, I find that <code>GridSearchCV.fit</code>doesn't take generator for X and Y. The problem is I don't have all the memory space for the task. The classifier I use is <code>SGDClassifier</code> (which supports <code>partial_fit</code>).</p>
  
  <p>Before this I would use a much smaller subset of the dataset for the <code>GridSearchCV</code>, and then retrain the best classifier with the whole dataset. Is this the right way to use GridSearchCV?</p>