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I tried using multiprocess.pool and apply async but kept running into pickling problems
parallelism got added in some version of sphinx gallery, but it uses joblib, which seems to result in errors. Additionally, it has no effect if you set parallel = 1 (it will not put each file run into its own process and run singly) so you need parallel >= 2, but I'm not sure if there are any tutorials that require being run on their own (ex for memory profiling)