Sphinx makes it possible to declare when a new feature was added using thie versionadded directive:

http://sphinx-doc.org/markup/para.html#directive-versionadded

We should review all the classes / functions / methods / attributes introduced in 0.17 (see the changelog) and add a ..versionadded:: 0.17 declaration in the docstring for those elements.

It's also a good opportunity to add the missing links to the github PR numbers (or issue number if no PR) when those features where added to the matching entry of doc/whats_new.rst.

The commits to address this PR should first be merged in master and then @ogrisel or @amueller will take care of the actual backport to the 0.17.X branch.