DOC: fix 2 covariance examples rst math markup.

Some formulas in plot_mahalanobis_distances and
plot_robust_vs_empirical_covariance were not correctly rendered by sphinx
as some characters were not properly escaped. This is fixed by setting the
docstrings as raw string using r"""

There was also missing braces for the number of features and samples subscript.
WIP: releasing the GIL in the inner loop of coordinate descent
Replaced numpy calls with blas in dual_gap
Made the following fixes
1. Replaced l1_norm with dasum calls
2. Changed strides to n_tasks in ddot
Replaced multiprocessing with threading
ENH: Release the GIL for sparse coordinate descent
COSMIT: Replaced xrange with range
ENH: Release GIL in the gram variant