[WIP] Multinomial Logistic Regression

Continuation of the work by @larsmans
https://github.com/scikit-learn/scikit-learn/pull/2814
I guess I've got the math wrong.
I thought we are not multiplying C with the grad term corresponding to the intercept, and its not the penalty term corresponding to the intercept.

Does multiplying the grad term with C count as penalising the intercept too?