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Speed up usage of threadpoolctl #246

Description

@itamarst

Initial benchmarking with more extensive use of threadpoolctl in scikit-learn suggest that the overhead of setting limits can be considerable. While there may be ways to improve that within joblib and/or scikit-learn, having threadpoolctl itself be faster would help all users.

Some ideas:

  • Microoptimizations.
  • Caching the ThreadpoolController, and invalidating it when imports change.
  • Caching individual CDLL. This has the nice property that one can reasonably assume they never get unloaded, so you don't need invalidation logic.
  • ... maybe more as I look at profiling results and think ...

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