[MRG] compress pickle #244
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In this PR I give the possibility to compress (with bz2) the pickle files of an agent.
By default, we keep the old behavior of no compression because compression takes a bit of time (order of 2~3min on my laptop).
This is especially useful when the environment (which is automatically saved with the agent) is large. In particular, with farmgym, I had a pickle file for one agent of size 300M and after compression the same agent is saved in 1.5M.
Maybe we could make this the default behavior, I know that pytorch by default compress its checkpoints for instance.