text: Title: Parallel processing with n_jobs > 1 failing on Azure Linux VM Ubuntu 20.04
  Body: Hello,
  
  Working with autosklearn has been a journey. Running small experiments for 1 hour on my local machine (Running WSL2 and the other with Majaro Linux) ends without problems. I have been using the argument `n_jobs=-1` to run it on all cores. Since I want to let the script running for 10 hour or so I want to be able to run this on a remote server that I can just leave on. After installing all the packages and setting an extra environment for autosklearn running the same script without `n_jobs` everithing runs fine. The erro that I am getting is the following
  
  ```
   File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/multiprocessing/context.py", line 283, in _Popen
      return Popen(process_obj)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/multiprocessing/popen_spawn_posix.py", line 32, in __init__    super().__init__(process_obj)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/multiprocessing/popen_fork.py", line 19, in __init__
      self._launch(process_obj)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/multiprocessing/popen_spawn_posix.py", line 42, in _launch
      prep_data = spawn.get_preparation_data(process_obj._name)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/multiprocessing/spawn.py", line 154, in get_preparation_data
      _check_not_importing_main()
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/multiprocessing/spawn.py", line 134, in _check_not_importing_main
      raise RuntimeError('''
  RuntimeError:
          An attempt has been made to start a new process before the
          current process has finished its bootstrapping phase.
  
          This probably means that you are not using fork to start your
          child processes and you have forgotten to use the proper idiom
          in the main module:
  
              if __name__ == '__main__':
                  freeze_support()
                  ...
  
          The "freeze_support()" line can be omitted if the program
          is not going to be frozen to produce an executable.
  ```
  
  the exceution freezes. the script do not continue after the error. I have to kill it and then this appears:
  
  ```
      self.start(timeout=timeout)
      self.start(timeout=timeout)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/site-packages/distributed/client.py", line 949, in start
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/site-packages/distributed/client.py", line 949, in start
      sync(self.loop, self._start, **kwargs)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/site-packages/distributed/utils.py", line 337, in sync
      e.wait(10)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/threading.py", line 558, in wait
      sync(self.loop, self._start, **kwargs)
      sync(self.loop, self._start, **kwargs)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/site-packages/distributed/utils.py", line 337, in sync
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/site-packages/distributed/utils.py", line 337, in sync
      signaled = self._cond.wait(timeout)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/threading.py", line 306, in wait
      e.wait(10)
      e.wait(10)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/threading.py", line 558, in wait
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/threading.py", line 558, in wait
      gotit = waiter.acquire(True, timeout)
  KeyboardInterrupt
      signaled = self._cond.wait(timeout)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/threading.py", line 306, in wait
      signaled = self._cond.wait(timeout)
    File "/home/elias/anaconda3/envs/autosklearn/lib/python3.8/threading.py", line 306, in wait
      gotit = waiter.acquire(True, timeout)
      gotit = waiter.acquire(True, timeout)
  KeyboardInterrupt
  
  ```
  I am not able to debug this by myself. I am not an expert and do not know anything about dask or parallel computing.
  
  I would be happy if someone could help.
  
  Thanks in advance