When running on multi-core systems you might encounter errors such as ‘RFE fails with “OSError: [Errno 12] Cannot allocate memory’. This can occur since scikit-learn, which is used for the optimization, attempts by default to parallelize the computation over multiple CPUs, increasing the memory requirement as well. This behavior can be controlled via the n_jobs parameter. The default value (n_jobs=-1) attempts to use all available CPUs. To reduce the memory consumption the maximum number of concurrently running jobs should be set explicitly, e.g., n_jobs=2.