Hi, Stelios,
I am wondering, how did you implement this tweak? Just a thought, but instead 
of adding extra functionality inside the GridSearch class, what about using a 
random training data selector (transformer) as a pipeline object? Something 
along the lines of

class RandomRowSelector(object):
    def __init__(self):
        pass

    def _some_random_sampling_function(self, X, y)

    def transform(self, X, y):
        sampled_rows = self.some_random_sampling_function(self, X, y)
        return X[sampled_rows, :], y[sampled_rows, :]

    def fit(self, X, y=None):
        return self

Best,
Sebastian

> On Feb 19, 2016, at 7:56 AM, Stylianos Kampakis 
> <stylianos.kampa...@gmail.com> wrote:
> 
> Hi everyone,
> 
> I was thinking to implement a tweak where it is possible to sample randomly 
> from a dataset when using grid search. This would particularly useful for big 
> datasets. The sampling takes place during each round of grid search.
> 
> Does anyone think this would be worthy submitting to scikit-learn?
> 
> Best regards,
> Stelios
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