Add option to GLM lambda_search to choose to be more memory efficient

[exalate-issue-sync]

If glm lambda_search=True and cross-validation is enabled and keep_cross_validation_predictions=True, H2O-3 can crash due to OOM. However, Seb would prefer the following:

if lambda_search=True and save_memroy_option=True, lamda search should run in memory efficient mode to find the best lambda-value. However, if the user chooses keep_cross_valiation_predictions=True, lambda search will keep cross-validation predictions for the best model found so far and returned it to the user.

In, addition, make sure that lamda search result is calculated based on a validation dataset or cross-validation.

[h2o-ops]

JIRA Issue Migration Info

Jira Issue: PUBDEV-7474
Assignee: New H2O Bugs
Reporter: Wendy
State: Open
Fix Version: N/A
Attachments: N/A
Development PRs: N/A