[MRG] Improve the convergence warning message for LogisticRegression

[ogrisel]

This is a complement to the recently merged #15571 to also point to the documentation on the choice of the solver specifically for the logistic regression estimator.

To make it more readable, I used a multi-line formatting and I updated the test to make assertions for the different pieces of information we are expecting in the message:

>>> LogisticRegression(C=1e3, tol=0., max_iter=1).fit(X, y)                                                                                                                 
/home/ogrisel/code/scikit-learn/sklearn/linear_model/_logistic.py:939: ConvergenceWarning: lbfgs failed to converge (status=1):
STOP: TOTAL NO. of ITERATIONS REACHED LIMIT.

Increase the number of iterations (max_iter) or scale the data as shown in:
    https://scikit-learn.org/stable/modules/preprocessing.html.
Please also refer to the documentation for alternative solver options:
    https://scikit-learn.org/stable/modules/linear_model.html#logistic-regression
  extra_warning_msg=_LOGISTIC_SOLVER_CONVERGENCE_MSG)

[glemaitre]

LGTM.

[thomasjpfan]

LGTM

[jnothman]

This situation sucks, but okay