Investigate whether it's possible to make some of the knn indices picklable

[frankier]

It is possible to mmap within a pickle: https://github.com/UniNE-CHYN/mmappickle so there might be hope

[frankier]

Neuraxle has support for custom saving e.g. https://github.com/Neuraxio/Neuraxle-TensorFlow . Unfortunately it reinvents quite a lot of sklearn stuff. Not sure if it's possible to support this as an optional extra while staying mainly on sklearn.