Hi,

I was wondreing why sklearn does not allow me to specify the dtype I'd like to use.

I'm working with rather large dataset, which fits into my RAM as float32, but when I'm trying to train a simple SGD on it, the model tries to copy my data into float64, causing MemoryError.

I can change this in my local sklearn build, but I guess there is a good reason why this is not a free parameter?