GraphLassoCV works with alphas given as list.

Added a test case.
Simplified GraphLassoCV code.

Benchmarked GraphLassoCV with different combination of warm-restart.
Removed any code that did not provide a significant speedup.

Corrected some docstrings at the same time.
Put back cov_init parameter in graph_lasso_path_
Speed up some tests
Removed unused import