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TST warning class should be passed as the category parameter.
The first argument is the test callable. Doing it like this cause the test function to not be called
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sklearn/linear_model/tests/test_sgd.py

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@@ -319,7 +319,7 @@ def test_validation_set_not_used_for_training(self):
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assert_array_equal(clf1.coef_, clf2.coef_)
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@ignore_warnings(ConvergenceWarning)
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@ignore_warnings(category=ConvergenceWarning)
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def test_n_iter_no_change(self):
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# test that n_iter_ increases monotonically with n_iter_no_change
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for early_stopping in [True, False]:

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