Multiprocessing scikit-learn

I think using SGDClassifier instead of LinearSVC for this kind of data would be a good idea, as it is much faster. For the vectorization, I suggest you look into the hash transformer PR.

For the multiprocessing: You can distribute the data sets across cores, do partial_fit, get the weight vectors, average them, distribute them to the estimators, do partial fit again.

Doing parallel gradient descent is an area of active research, so there is no ready-made solution there.

How many classes does your data have btw? For each class, a separate will be trained (automatically). If you have nearly as many classes as cores, it might be better and much easier to just do one class per core, by specifying n_jobs in SGDClassifier.

For linear models (LinearSVC, SGDClassifier, Perceptron...) you can chunk your data, train independent models on each chunk and build an aggregate linear model (e.g. SGDClasifier) by sticking in it the average values of coef_ and intercept_ as attributes. The predict method of LinearSVC, SGDClassifier, Perceptron compute the same function (linear prediction using a dot product with an intercept_ threshold and One vs All multiclass support) so the specific model class you use for holding the average coefficient is not important.

However as previously said the tricky point is parallelizing the feature extraction and current scikit-learn (version 0.12) does not provide any way to do this easily.

Edit: scikit-learn 0.13+ now has a hashing vectorizer that is stateless.