Improve sample_weight handling in sag(a)

### Describe the bug

This may be more of a discussion, but overall I am not sure what treatment of weighting would preserve the convergence guarantees for the SAG(A) solver. So far as I see it, at each update step we uniformly select some index $i_j$ such that the update steps can be generalised as:

$x^{k+1} = x^{k} - \sum_{j=1}^{k} \alpha_{j} S(j, i_{1:k}) f'_{i_j}(x^j)$

Where $S(j, i_{1:k}) = 1/n$ if $j$ is the maximum iteration at which $i_j$ is selected. 

For frequency based weighting, one could sample $i_j$ using weights as a probability, and under non-uniform sampling the SAG(A) convergence guarantees still seem to hold, (see [here]([https://inria.hal.science/hal-00860051/document])).

 Alternatively as currently done, the weights could be multiplied through with the gradient update and that could also work, however I am not sure which method is best (we also here need to additionally consider the division by the cardinality of the set of "seen" elements within each update step).

### Steps/Code to Reproduce

```python
import numpy as np
from scipy.stats import kstest
from sklearn.linear_model.tests.test_sag import sag, squared_dloss
from sklearn.datasets import make_regression
from sklearn.utils._testing import assert_allclose_dense_sparse

step_size=0.01
alpha=1

n_features = 1

rng = np.random.RandomState(0)
X, y = make_regression(n_samples=10000,random_state=77,n_features=n_features)
weights = rng.randint(0,5,size=X.shape[0])

X_repeated = np.repeat(X,weights,axis=0)
y_repeated = np.repeat(y,weights,axis=0)

weights_w_all = np.zeros([n_features,100])
weights_r_all = np.zeros([n_features,100])

for random_state in np.arange(100):

    weights_w, int_w = sag(X,y,step_size=step_size,alpha=alpha,sample_weight=weights,dloss=squared_dloss,random_state=random_state)
    weights_w_all[:,random_state] = weights_w
    weights_r, int_r = sag(X_repeated,y_repeated,step_size=step_size,alpha=alpha,dloss=squared_dloss,random_state=random_state)
    weights_r_all[:,random_state] = weights_r

print(kstest(weights_r_all[0],weights_w_all[0]))
```

note that I modified ```sag``` in test_sag.py to accept random_state:

```python
def sag(
    X,
    y,
    step_size,
    alpha,
    n_iter=1,
    dloss=None,
    sparse=False,
    sample_weight=None,
    fit_intercept=True,
    saga=False,
    random_state=77,
):
    n_samples, n_features = X.shape[0], X.shape[1]

    weights = np.zeros(X.shape[1])
    sum_gradient = np.zeros(X.shape[1])
    gradient_memory = np.zeros((n_samples, n_features))

    intercept = 0.0
    intercept_sum_gradient = 0.0
    intercept_gradient_memory = np.zeros(n_samples)

    rng = np.random.RandomState(random_state)
    decay = 1.0
    seen = set()

    # sparse data has a fixed decay of .01
    if sparse:
        decay = 0.01

    for epoch in range(n_iter):
        for k in range(n_samples):
            #if sample_weight is not None:
            #    idx = rng.choice(np.arange(n_samples),p=sample_weight/np.sum(sample_weight))
            #else:
            idx = int(rng.rand()*n_samples)
            # idx = k
            entry = X[idx]
            seen.add(idx)
            p = np.dot(entry, weights) + intercept
            gradient = dloss(p, y[idx])
            if sample_weight is not None:
                gradient *= sample_weight[idx]
            update = entry * gradient + alpha * weights
            gradient_correction = update - gradient_memory[idx]
            sum_gradient += gradient_correction
            gradient_memory[idx] = update
            if saga:
                weights -= gradient_correction * step_size * (1 - 1.0 / len(seen))

            if fit_intercept:
                gradient_correction = gradient - intercept_gradient_memory[idx]
                intercept_gradient_memory[idx] = gradient
                intercept_sum_gradient += gradient_correction
                gradient_correction *= step_size * (1.0 - 1.0 / len(seen))
                if saga:
                    intercept -= (
                        step_size * intercept_sum_gradient / len(seen) * decay
                    ) + gradient_correction
                else:
                    intercept -= step_size * intercept_sum_gradient / len(seen) * decay

            weights -= step_size * sum_gradient / len(seen)

    return weights, intercept
```

### Expected Results

kstest should have p-value larger than 0.025

### Actual Results

```
KstestResult(statistic=np.float64(0.44), pvalue=np.float64(4.414205948474835e-09), statistic_location=np.float64(24.644506472064027), statistic_sign=np.int8(-1))
```

With an example histogram of:

![Image](https://github.com/user-attachments/assets/a3081d21-4ac9-491a-a437-e4f916b862b9)

### Versions

```shell
System:
    python: 3.12.4 | packaged by conda-forge | (main, Jun 17 2024, 10:13:44) [Clang 16.0.6 ]
executable: /Users/shrutinath/micromamba/envs/scikit-learn/bin/python
   machine: macOS-14.3-arm64-arm-64bit

Python dependencies:
      sklearn: 1.8.dev0
          pip: 24.0
   setuptools: 75.8.0
        numpy: 2.0.0
        scipy: 1.14.0
       Cython: 3.0.10
       pandas: 2.2.2
   matplotlib: 3.9.0
       joblib: 1.4.2
threadpoolctl: 3.5.0

Built with OpenMP: True

threadpoolctl info:
       user_api: blas
   internal_api: openblas
    num_threads: 8
         prefix: libopenblas
...
    num_threads: 8
         prefix: libomp
       filepath: /Users/shrutinath/micromamba/envs/scikit-learn/lib/libomp.dylib
        version: None
Output is truncated. View as a scrollable element or open in a text editor. Adjust cell output settings...
```

COMMENT:
Hi @ogrisel, yes I tried to pass sample_weight instead to the resampling and did not rescale the gradient. It still does not look quite right. There is the fact that we additionally divide by the length od "seen" variables... but I don't think this should be affected by sample weights as it only looks at unique variables form what I understand.


> > For frequency based weighting, one could sample i j using weights as a probability, and under non-uniform sampling the SAG(A) convergence guarantees still seem to hold, (see here).
> 
>
For some reason it isn't showing the link, I mean this one: https://inria.hal.science/hal-00860051/document

Labels: Enhancement