Grid Search

http://scikit-learn.org/stable/modules/generated/sklearn.model_selection.GridSearchCV.html
First, for grid search method, you need to select which parameters are used for the optimization and define parameter sets.

from sklearn.model_selection import GridSearchCV
from sklearn.metrics import make_scorer

learner = RandomForestClassifier(random_state = 2)
n_estimators = [12, 24, 36, 48, 60]
min_samples_leaf = [1, 2, 4, 8, 16]
parameters = {'n_estimators': n_estimators, 'min_samples_leaf': min_samples_leaf}

In this case, AUC is used as a scorer. Thus, you need to create you own scorer for AUC.

def auc_scorer(target_score, prediction):
    auc_value = roc_auc_score(prediction, target_score)    
    return auc_value

scorer = make_scorer(auc_scorer, greater_is_better=True)

Finally, you can define Grid Search Object.

grid_obj = GridSearchCV(learner, parameters,  scorer)

Heat Map

http://scikit-learn.org/stable/auto_examples/svm/plot_rbf_parameters.html
To create a heat map, you need to have 2 dimentional matrix at first. From Grid Search Object, you can retrieve all prediction results corresponding to grid search parameter set. In the example below, all result are put into scores .

scores = grid_obj.cv_results_['mean_test_score'].reshape(len(n_estimators),len(min_samples_leaf))

Note: scores contains the following array.

[[ 0.91803961  0.92444425  0.9264368   0.92730609  0.92808348]
 [ 0.91263539  0.91757799  0.91892211  0.91957058  0.91950196]
 [ 0.90143663  0.90590379  0.90669241  0.90751479  0.90758263]
 [ 0.89168321  0.89370183  0.89414698  0.89497685  0.89506426]
 [ 0.88276445  0.88386261  0.88380793  0.88408826  0.88448689]]

Then, you can use scores for plotting a heat map.

plt.figure(figsize=(8, 6))
plt.subplots_adjust(left=.2, right=0.95, bottom=0.15, top=0.95)
plt.imshow(scores, interpolation='nearest', cmap=plt.cm.hot)
plt.xlabel('n_estimators')
plt.ylabel('min_samples_leaf')
plt.colorbar()
plt.xticks(np.arange(len(n_estimators)), n_estimators)
plt.yticks(np.arange(len(min_samples_leaf)), min_samples_leaf)
plt.title('Grid Search AUC Score')
plt.show()

Finally, you can plot a heat map like below.