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[WIP] Ridge fit_intercept with sparse X (issue #1389) #1560
At the moment partly ignores fit_intercept if X is sparse: It sets the intercept to the mean of
This PR fits a (penalized) intercept in the sparse case by using
@vene When solver="auto" (the default), the solver used is not the same when X is dense and when X is sparse so you don't get the exact same results. Can you try to set the solver explicitly? (e.g. sparse_cg, which despite the name handle dense arrays too)
The unit tests are getting messy. It would be nice to break the tests into smaller units (not needed for this PR).