[WIP] Implementing Averaged SGD

Working on implementing averaged SGD for both classifier and regressor for #543
I see your point. One solution that I'm thinking of is to just store the avg_weights in coef_ if average is set to True. To do this I would also need to maintain a pointer instead to the true un-averaged weights and use that to compute the average, which shouldn't be too hard to implement. Would that be reasonable?