>
> I still don't see the point in refitting all best estimators -- presumably
> an expensive task -- if only one will be used for prediction in a grid
> search. This *forces* the user to fit additional models when they only
> want one, while refitting only one does not stop the user from fitting
> additional models for each other objective.
>
Indeed, good point. Shall we add a constructor option to let the user
choose which estimator to use as predictor? (and refit only this one)