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:
> We better open an issue in their corresponding repositories and warn them that this is coming.

Opening an issue in repositories that depends on scikit-learn does not scale well.

Concretely, here are the pain points I see with a breaking transition:

1. Supporting `SLEP006` will be harder without inheriting from `BaseEstimator`. 
2. Libraries that want to support v1 and v2 will have a hard time. Ultimately, they will have to decide between bounding scikit-learn by `<2.0` or `>=2.0`. (Both are valid decisions)
3. Installing multiple libraries will be harder because the bounds for scikit-learn can be incompatible, i.e. `<2.0` and `>=2.0`.

[NumPy](https://github.com/numpy/numpy/pull/21626) and [Pandas](https://pandas.pydata.org/docs/dev/user_guide/copy_on_write.html#how-to-enable-cow) have recently used feature flags to trigger backward incompatible behavior to allow third party libraries to adopt to the changes and to teach them about the behavior change. With a feature flag, we maintain the pre-SLEP006 and post-SLEP006 routing behavior, but we do not go through the deprecation cycle. We state that in v2.0, the feature flag will do nothing and we will only use SLEP006 behavior.

What does everyone think about using a feature flag?

Labels: RFC, Breaking Change