[WIP] Releasing the GIL in the inner loop of coordinate descent

- [x] release the GIL in the dual gap check (need to replace numpy calls by BLAS equivalents)
- [x] release the GIL in the sparse input variant
- [x] release the GIL for the precomputed Gram matrix variant
- [ ] benchmark the scaling for instance by hacking the cross_val_score function to make it possible to use the threading backend instead of multiprocessing
@ogrisel I do get a  "C_CONTIGUOUS : True
  F_CONTIGUOUS : False" . That was the basis of my previous comment, https://github.com/scikit-learn/scikit-learn/pull/3102#discussion_r13589889