[MRG+1] 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
- [x] release the GIL for multi-task variant.
- [x] benchmark the scaling for instance by hacking the cross_val_score function to make it possible to use the threading backend instead of multiprocessing