> How many features
> do you have?
> 

Total # nfeatures=517000
Total # nsamples=14500
Total # categories=2992

I have 64G of memory, so I do not think memory is the issue in this case.
 The training does complete with njobs=1, but the time taken is about 2h.
[Since the machine has 16 cores thought should use njobs=-1,
 e.g. OnevsRestClassifier(SGDClassifier, njobs=-1) training completes in
 about 20 min]



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