Compresses and pickles given object to the given filename.

def save_object(filename, obj):
    """Compresses and pickles given object to the given filename."""
    logging.info('saving {}...'.format(filename))
    try:
        with gzip.GzipFile(filename, 'wb') as f:
            f.write(pickle.dumps(obj, 1))
    except Exception as e:
        logging.error('save failure: {}'.format(e))
        raise