title: Compare multiple algorithms with sklearn pipeline
body: <p>I'm trying to set up a scikit-learn pipeline to simplify my work. The problem I'm facing is that I don't know which algorithm (random forest, naive bayes, decision tree etc.) fits best so I need to try each of them and compare the results. However does pipeline only take one algorithms at a time? For example below pipeline only takes in SGDClassifier() as the algorithm.</p>
  
  <pre><code>pipeline = Pipeline([
  ('vect', CountVectorizer()),
  ('tfidf', TfidfTransformer()),
  ('clf', SGDClassifier()),])
  </code></pre>
  
  <p>What should I do if I want to compare different algorithms? Can I do something like this?</p>
  
  <pre><code>pipeline = Pipeline([
  ('vect', CountVectorizer()),
  ('tfidf', TfidfTransformer()),
  ('clf', SGDClassifier()),
  ('classifier', MultinomialNB()),])
  </code></pre>
  
  <p>I don't want to break it down into two pipelines because the preprocess of the data is super time consuming. </p>
  
  <p>Thanks in advance!</p>