FIX PLSRegression again supports 1d target

Fixes plot_compare_cross_decomposition example
Fix RFE n_features minimum value #3812
Fix RFE n_features minimum value #3812 and make it simpler.
If step is explicitly zero or negative, raise a ValueError exception.
ENH Release gil in feature importance
ENH use threading backend for features importance parallelisation
FIX explicit initialization of normalizer
Merge pull request #3900 from dimazest/latexpdf

[MRG+1] Don’t embed hyperlinks during latex file generation.
Minor doc enhancement: documented setup develop.
Fix example in plot_pca_3d.py (color array had wrong size)
Added link to the setuptools doc and a note on the need to rebuild every time a
compiled extension is modified
Merge pull request #3578 from jnothman/pls-validation

[MRG] PLSRegression again supports 1d target
Merge pull request #3905 from jlopezpena/fix-example-plot_pca_3d

[MRG+1] Fix example in plot_pca_3d.py (color array had wrong size)
FIX handle selection in feature names for example
DOC Fix broken class references
Check if targets is a numpy array and convert it into one if it isn't
Merge pull request #3902 from JeanKossaifi/doc_enhancement

Minor doc enhancement: documented setup develop.
reverted css to current stable, fixes the display bug
Merge pull request #3898 from arjoly/nogil-feature-importance

ENH Release gil in feature importance
Merge pull request #3899 from jlopezpena/fix-OvOlist

[MRG+1] Let OneVsOneClassifier use list of targets