Linear models

First attempt at multiple targets in linear models. These are the results.

Lars

In [8]: from sklearn.datasets import make_regression
In [9]: from sklearn.linear_model import LassoLars

In [10]: X, y = make_regression(1000, 1000, 10, n_targets=50)

In [11]: def fit_iter(X, Y):
   ....:         for y in Y.T:
   ....:                 LassoLars(1.0, precompute=True).fit(X, y)
   ....:         
In [12]: def fit_once(X, y):
   ....:         LassoLars(1.0, precompute=True).fit(X, y)
   ....:     

In [13]: %timeit fit_once(X, y)
1 loops, best of 3: 824 ms per loop

In [14]: %timeit fit_iter(X, y)
1 loops, best of 3: 10.1 s per loop