@agramfort  Do you mean `self.alphas_` should be an array if y is multioutput. In order to avoid this complexity, I suggested this.

1] Since we have a MultiTaskElasticNet, we could have a MultiTaskElasticNetCV also, to cross-validate 
multi-tasks, 
2] Also to avoid complexity, we could make MultiTaskElasticNet accept an array of floats, (right now it accepts just one float value)

@ogrisel , @glouppe , @mblondel : Would you be able to give suggestions for this too?
I just want a go-ahead to start working on this.
Thanks.