[scikit-learn] Logistic regression with elastic net regularization

[Olivier Grisel]

Note that SGD is not very good at optimizing finely with a non-smooth
penalty (e.g. l1 or elasticnet). The future SAGA solver is going to be
much better at finding the optimal sparsity support (although this
support is not guaranteed to be stable across re-sampling of the
training set if the training set is small).

-- 
Olivier