FEA Add metadata routing to SelectFromModel

[StefanieSenger]

Reference Issues/PRs

Towards #22893

What does this implement/fix? Explain your changes.

Adds metadata routing to SelectFromModel.
The routing is added in the fit and partial_fit methods.

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[adrinjalali]

also, could you please move the estimator from unsupported, to supported in metadata_routing.rst?

[adrinjalali]

LGTM.

@glemaitre @OmarManzoor another easy one to review.

[glemaitre]

LGTM. Only a small change in the documentation and a more general question.

[glemaitre]

are we making the call consistent by calling it **params instead of **fit_params?

[StefanieSenger]

In my opinion, it might avoid confusion to call those params like the function they are routing from (partial_fit_params, in this case). Imagining several sets of params being routed between several methods, this would help to read the code more easily.

I'm not sure if Adrin shares the same sentiment about the term 'partial_fit_params,' @adrinjalali?

For me, the more explicit, the better.

[glemaitre]

For me fit_params or partial_fit_params makes sense when those parameters are only dispatched to the fit or partial_fit_params from the underlying learners. If there is a scorer for instance, I am fine with params.

This is a bit the reason that I was a bit surprised here because we only pass it to the partial_fit_params of the sub-estimator.

[adrinjalali]

I personally don't care enough about these names really, users can't pass them explicitly anyway.

[glemaitre]

So let's be intuitive and consistent for the sake of the documentation :).

[adrinjalali]

Suggested change

	`**partial_fit_params` are routed to the sub-estimator, if
	`enable_metadata_routing=True` is set via
	:func:`~sklearn.set_config`, which allows for aliasing.
	Only available if `enable_metadata_routing=True`,
	which can be set by using
	``sklearn.set_config(enable_metadata_routing=True)``.
	See :ref:`Metadata Routing User Guide <metadata_routing>` for
	more details.

[StefanieSenger]

Actually, I would suggest to leave this part below .. versionchanged:: 1.4 mostly away. We already wrote all of this before and after. And it looks difficult to read.

What about this?

         **partial_fit_params : dict
            - If `enable_metadata_routing=False` (default):

                Parameters directly passed to the `partial_fit` method of the
                sub-estimator. They are ignored if `prefit=True`.

            - If `enable_metadata_routing=True`:

                Parameters safely routed to the `partial_fit` method of the
                sub-estimator. They are ignored if `prefit=True`.

                .. versionchanged:: 1.4
                    See :ref:`Metadata Routing User Guide <metadata_routing>` for
                    more details.

[adrinjalali]

I agree.

[adrinjalali]

@glemaitre you okay with this version?

[adrinjalali]

CI failing @StefanieSenger

[glemaitre]

Yes I am fine with this version. We can merge once the CI is green.

[StefanieSenger]

I've dealt with the errors in the docstring and hope now the CI will be all green.
Thanks for reviewing! :)

[glemaitre]

Thanks @StefanieSenger Merging.