RFC: Breaking Changes for Version 2

A while ago we talked about the possibility of a version 2 with breaking changes. Specifically, this came up in the context of SLEP006: metadata routing, but there are other things we have wanted to break which we can do all in a single release. In this issue we can talk about the possibility of such a release, and maybe a few things we'd like to include in it.

I'll try to summarize the challenges of keeping backward compatibility (BC) in the context of SLEP006:

- `MetaEstimator(Estimator()).fit(X, y, sample_weight)` will raise according to SLEP006 since `sample_weight` is not requested by any object. For backward compatibility, during the transition period, it'll only warn and assume `sample_weight` is requested by `Estimator()`.
- What should the behavior of `GridSearchCV(Estimator(), scorer=scorer).fit(X, y, sample_weight)` be during the transition period? If we keep backward compatibility, it should warn (whatever the warning be), route `sample_weight` to `Estimator`, but not to the `scorer`. And that's only the case because we're keeping BC. From the user's perspective, it's very weird.
- `Pipeline` ATM in certain methods like `fit`, `fit_transform`, `predict`, routes `*_params` to the `fit/etc` of the last estimator only. And `decision_function` and `transform`, `score_samples` have no routing at all. Keeping this BC, proves to be challenging, and a bit nasty. ref: #24270
- In quite a few meta-estimators, we check if the sub-estimator has `sample_weight` in the signature of `fit`, and we pass the given sample weight to it if that's the case, and not if that's not the case. With routing, we would have a much better idea of when to pass sample weight and when not, but if we're keeping BC, it's really challenging to see if we should forward sample weights or not. Both AdaBoost (#24026) and Bagging (#24250) have been very challenging, to the point that we might end up having to check if a sub-estimator is a meta-estimator itself or not, and check signature of sub-estimator's `fit`, and check the given routing info to keep BC.

I'm pretty sure there are other issues we haven't foreseen, and they'll come up as we work on this project. We thought it'd be easy once we get to this point, but BC has proven to make it very tricky and has stalled the progress.

All of the above is adding substantial complexity which is probably error prone, and buggy. We have had to spend quite a bit of time every time we go back to review those bits to understand why we've done what we've done. Even as a temporary solution they're not very maintainable.

My proposal here is to have a version 2 which is not BC with previous releases in certain ways, and target a few breaking changes for it. We can aim to have the release in October 2023 or April/May 2024 as the version 2.

cc @scikit-learn/core-devs

COMMENT:
> Silently changing behavior. Are there cases where existing code works, but will have new behavior under SLEP006 without raising an error?

AFAICT, no. All previously magically working code will raise and expect user to explicitly specify routing requests.

> Migration guide for third party estimator developers. Given that v2 is a breaking change, it will take a little longer for users to go to v2, so it's reasonable to say that third party estimator developers would want to support v1 and v2 for a little while. How much work does a third party developer need to do to make sure their code works with v1 and v2 ?

For third party estimators, if:
- they inherit from `BaseEstimator`
- their required/accepted parameters for their `fit/predict/etc` methods are explicitly specified in those methods rather than `*args` and `**kwargs`

there is no work to be done. Everything works out of the box.

For meta-estimators, they can check our version, and do the old routing or the new one, but I'm not sure if we want to recommend that. Since their user's experience would depend on what sklearn they have installed. They probably are better off to do a breaking change release the same way as we do.

For people who don't want to inhering from `BaseEstimator`, they're kinda on their own. But if I have the time, I might submit a PR to one of them to have an example of how it can be done. They'd need to vendor different versions of our routing logic.

Labels: RFC, Breaking Change