perf: speed up model training

[MartinBernstorff]

• Profile to figure out where the time is spent
  • 22s generating crossvalidation splits
  • 17s on model training
  • 3s on pythons tartup
  • 5s on misc.
• If model training, try LightGBM (with GPU?)
  • GPU support is part of the Python package, https://github.com/microsoft/LightGBM/tree/master/python-package