[scikit-learn] Using fit_intercept with sparse matrices

[Jaidev Deshpande]

Hi,

I usually encounter many cases when I've forgotten that my input to the
`AnyEstimator.fit` method is a sparse matrix, and I've set
`fit_intercept=False`.

To avoid this, I could of course make a habit of not tampering with the
default `fit_intercept=True`, but I think it would be better and more
idiot-proof if the method raises a warning saying something like,

"fit_intercept=False works best when the data is centered, and sparse
matrices can't be centered. Please set fit_intercept=True for better
results."

What do you think? If doing this is worthwhile, I'll send a PR.

Thanks!
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