SLEP006: globally setting request values

One of the issues raised in https://github.com/scikit-learn/scikit-learn/issues/25776 and https://github.com/scikit-learn/scikit-learn/issues/23928 is about a code such as following to work under SLEP6:

```py
est = AdaBoostClassifier(LogisticRegression())
est.fit(X, y, sample_weight=sw)
```
or
```py
GridSearchCV(
	LogisticRegression(), 
	scorer=a_scorer_supporting_sample_weight, ...
).fit(..., sample_weight=sw)
```
without having to change the code, or w/o having to write too much boilerplate code, or w/o having to explicitly set request values for `sample_weight` for these _usual_ usecases.

In order to allow the above pattern, the proposal is to allow users to set request values globally. These values can either be set as a configuration, or via dedicated methods. The user code at the end would look like:

```py
sklearn.set_fit_request(sample_weight=True)
sklearn.set_score_request(sample_weight=True)

GridSearchCV(
	LogisticRegression(), 
	scorer=a_scorer_supporting_sample_weight, ...
).fit(..., sample_weight=sw)
```

What the above code does, is to set he default value to `REQUESTED` instead of `ERROR_IF_PASSED` for `sample_weight`, on `fit` and `score`methods / scorers everywhere.

## API

A generic way to achieve this would be to set global default request values, on any method, for any metadata, which can generalize to `groups` and other metadata present in third party libraries.

Alternatively, we could only allow this for `sample_weight` (I rather not do this), and do it with something like:

```py
sklearn.set_config(fit_requests_sample_weight=True)
```
or if we don't want to distinguish between methods:
```py
sklearn.set_config(sample_weight_request=True)
```

My proposal would be:

```py
sklearn.set_{method}_request(metadata=value)
```
which follows the API on the estimator level, except that here we're setting it on the library scope.

## Context Manager

An addition to the above API, we can provide a context manager for the same purpose. If we expose this through a config, it's automatically done via `config_context`. If we follow another API, we can also provide the corresponding context managers.

## Effect on SLEP6's examples

Here we look at how the [examples in the SLEP](https://scikit-learn-enhancement-proposals.readthedocs.io/en/latest/slep006/proposal.html) would change.

### Nested Grouped Cross Validation

```py
weighted_acc = make_scorer(accuracy_score).set_score_request(sample_weight=True)
log_reg = LogisticRegressionCV(cv=GroupKFold(), scoring=weighted_acc).set_fit_request(
    sample_weight=True
)
cv_results = cross_validate(
    log_reg,
    X,
    y,
    cv=GroupKFold(),
    metadata={"sample_weight": my_weights, "groups": my_groups},
    scoring=weighted_acc,
)
```
becomes:

```py
sklearn.set_fit_request(sample_weight=True)
sklearn.set_score_request(sample_weight=True)

weighted_acc = make_scorer(accuracy_score)
log_reg = LogisticRegressionCV(cv=GroupKFold(), scoring=weighted_acc)
cv_results = cross_validate(
    log_reg,
    X,
    y,
    cv=GroupKFold(),
    metadata={"sample_weight": my_weights, "groups": my_groups},
    scoring=weighted_acc,
)
```

And users can still override the default global value at the estimator level, for example, the next example:

```py
weighted_acc = make_scorer(accuracy_score).set_score_request(sample_weight=True)
log_reg = LogisticRegressionCV(cv=group_cv, scoring=weighted_acc).fit_request(
    sample_weight=False
)
cross_validate(
    log_reg,
    X,
    y,
    cv=GroupKFold(),
    metadata={"sample_weight": weights, "groups": groups},
    scoring=weighted_acc,
)
```

becomes

```py
sklearn.set_fit_request(sample_weight=True)
sklearn.set_score_request(sample_weight=True)

weighted_acc = make_scorer(accuracy_score)
log_reg = LogisticRegressionCV(cv=group_cv, scoring=weighted_acc).fit_request(
    sample_weight=False
)
cross_validate(
    log_reg,
    X,
    y,
    cv=GroupKFold(),
    metadata={"sample_weight": weights, "groups": groups},
    scoring=weighted_acc,
)
```

### Unweighted Feature selection
Here there's no request value for `SelectKBest` set since it doesn't support `sample_weight`:

```py
weighted_acc = make_scorer(accuracy_score).set_score_request(sample_weight=True)
log_reg = LogisticRegressionCV(cv=GroupKFold(), scoring=weighted_acc).set_fit_request(
    sample_weight=True
)
sel = SelectKBest(k=2)
pipe = make_pipeline(sel, log_reg)
pipe.fit(X, y, sample_weight=weights, groups=groups)
```

it becomes:

```py
sklearn.set_fit_request(sample_weight=True)
sklearn.set_score_request(sample_weight=True)

weighted_acc = make_scorer(accuracy_score)
log_reg = LogisticRegressionCV(cv=GroupKFold(), scoring=weighted_acc)
sel = SelectKBest(k=2)
pipe = make_pipeline(sel, log_reg)
pipe.fit(X, y, sample_weight=weights, groups=groups)
```

### More advanced use cases with aliased routing

Aliased routing is not supported at the moment, and if the user wants to pass different sample weights to different objects, they'll need to use the verbose API.

## Open Questions
- How should the API exactly look like? Do we like the proposal here?
- Do we want to also implement the context manager?

------------------------------------------

## `sample_weight="auto"`

We also talked about good default request values for `sample_weight` specifically (https://github.com/scikit-learn/scikit-learn/issues/25776#issuecomment-1492877533), to allow users to follow our recommendations. This would be enabled by doing something like:

```py
sklearn.set_config(auto_sample_weight_routing=True)
```
or more explicitly
```py
sklearn.set_{method}_request(sample_weight='auto')
```

This would enable recommended routing, whatever we decide that to be. This is NOT a blocker for releasing SLEP6 and can be implemented after it's released, and recommendations are subject to change, and we tell users that they can change.

There shall be a separate issue to talk about the default values and how the end user API should look like. It is only mentioned here to give context on what we plan to do.

cc @scikit-learn/core-devs

COMMENT:
What are these wrong practices? Why would I not want `CalibratedClassifierCV` or bagging classifiers to route sample weights if I provide them?

Labels: API