[ENH] estimator serialization: user choice of serialization_format, support for cloudpickle

[achieveordie]

Reference Issues/PRs

In reference to #5324

What does this implement/fix? Explain your changes.

• Add support for serialization_format (currently pickle and cloudpickle are supported) for all estimators.
• Update sktime_mlflow to also be able to save DL estimators.

Does your contribution introduce a new dependency? If yes, which one?

None

What should a reviewer concentrate their feedback on?

Did you add any tests for the change?

Yes, I've added tests for all the added functionalities, I'm open to suggestions for adding more tests.

Any other comments?

PR checklist

For all contributions

• I've added myself to the list of contributors with any new badges I've earned :-)
  How to: add yourself to the all-contributors file in the sktime root directory (not the CONTRIBUTORS.md). Common badges: code - fixing a bug, or adding code logic. doc - writing or improving documentation or docstrings. bug - reporting or diagnosing a bug (get this plus code if you also fixed the bug in the PR).maintenance - CI, test framework, release.
  See here for full badge reference
• Optionally, I've added myself and possibly others to the CODEOWNERS file - do this if you want to become the owner or maintainer of an estimator you added.
  See here for further details on the algorithm maintainer role.
• The PR title starts with either [ENH], [MNT], [DOC], or [BUG]. [BUG] - bugfix, [MNT] - CI, test framework, [ENH] - adding or improving code, [DOC] - writing or improving documentation or docstrings.

For new estimators

• I've added the estimator to the API reference - in docs/source/api_reference/taskname.rst, follow the pattern.
• I've added one or more illustrative usage examples to the docstring, in a pydocstyle compliant Examples section.
• If the estimator relies on a soft dependency, I've set the python_dependencies tag and ensured
  dependency isolation, see the estimator dependencies guide.

[achieveordie]

The errors seem unrelated, rerunning it to confirm.

[achieveordie]

The current CI failure is due to a known issue #5026.

[fkiraly]

this is sporadic, we should not skip it

[achieveordie]

What's the general consensus on dealing with such sporadic errors?

[fkiraly]

Nice!

Small blocking things:

• I would spell the available formats out in the docstring directly. There are just two options.
• I would split this PR up in two, one with the serialization format, one for mlflow extension.

Non-blocking, out of scope for this PR but perhaps worth a look: @benjaminbluhm has continued to develop the mlflow plugin as part of mlflavours. I am not sure of its status, but perhaps you want a quick look whether adding this in one of the two or both places makes sense, whether we want to backport sth, or outsource sth to mlflavours.

[achieveordie]

mlflavors seems to have been updated quite a while ago. Ideally, this change should be present in both places since if one uses mlflavors with sktime DL estimators, they will get the same error as #5324.

If @benjaminbluhm doesn't mind, I'll open a similar PR there as well.

[achieveordie]

I'll make a follow-up PR for mlflow changes after this has been merged.

[achieveordie]

Two errors are related to #5488 and one error is from a tacky HTTPS connection, all unrelated to this PR.

[fkiraly]

Thanks!

[fkiraly]

Thanks, looks good to me now!