I have played around a bit and can't get saving a plot rendered with seaborn correctly. When using plt.savefig I lose the grid. However, using plt.show and then saving the figure manually works. This happens with eps and png as well. I need to render large amount of plots so this is a problem.
import numpy as np
import matplotlib.pyplot as plt
import seaborn as sns
sns.set(style = 'darkgrid', font_scale=2)
t = np.arange(100)
y = np.random.rand(len(t))
plt.plot(t,y)
plt.title('Test title')
plt.xlabel('Test xlab')
plt.ylabel('Tex $y_i = w_i x_i$')
plt.tight_layout()
#plt.show()
plt.savefig('test_plot.eps', format='eps')