Implemented in a previous version of #10280 <https://github.com/scikit-learn/scikit-learn/pull/10280>, but removed for now to simplify reviews <https://github.com/scikit-learn/scikit-learn/pull/10280#pullrequestreview-95622713>. If others would like to review #10280, I'm happy to follow up with the changes requested here, which have already been implemented by Aman Dalmia and myself.
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