Excessive warnings with Grid Search

[linomp]

Suppress excessive warnings when using area under curve metric for grid search (this metric gives much better results).

It's normal that some parameter combinations during the grid search yield ill-posed training sets, but this generates a lot of warnings.

Sklearn resets the warning filters so this is very tricky.

[linomp]

Manuel suggested:

Instead of sklearn try another hyper-param optimizer (hyper-opt, optuna)