TL;NR: GridSearchCV for logisitc regression and LogisticRegressionCV are effectively the same with very close performance both in terms of model and running time, at least with the following parameter settings.

See more discussion on https://github.com/scikit-learn/scikit-learn/issues/6619

Below is a short summary. The data used is RNA-Seq expression data from The Cancer Genome Atlas (TCGA).

_clf = LogisticRegression()
gs = GridSearchCV(
_clf,
param_grid={'C': Cs, 'penalty': ['l1'],
'tol': [1e-10], 'solver': ['liblinear']},
cv=skf,
scoring='neg_log_loss',
n_jobs=4,
verbose=1,
refit=True)
%time gs.fit(Xs, ys)

lrcv = LogisticRegressionCV(
Cs=Cs, penalty='l1', tol=1e-10, scoring='neg_log_loss', cv=skf,
solver='liblinear', n_jobs=4, verbose=0, refit=True,
max_iter=100,
)
%time lrcv.fit(Xs, ys)


The results:

gs.best_score_
# -0.047306741321593591

lrcv.scores_[1].mean(axis=0).max()
# -0.047355806767691064


Well, the difference is rather small, but consistently captured. I wonder if there is other reason beyond randomness. Since the solver is liblinear, there is no warm-starting involved here.