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skscope: Sparse-Constrained OPtimization via itErative-solvers

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[JAXopt](https://jaxopt.github.io/stable/index.html) is a differentiable optimizers which can solve general optimization problems such as set constrained or non-smooth optimization. I wonder whether it is possible to extend ``skscope`` to such a...

enhancement

I have two suggestions for possible improvements as follows: 1. **Sparse matrix:** In some practical problems (e.g., document classification) where the covariate matrix is extremely sparse, can ``skscope`` utilize the...

enhancement

It would be interesting to use `skscope` to address the clustering problem. Reference: - Lashkari, D., & Golland, P. (2007). Convex clustering with exemplar-based models. Advances in neural information processing...

documentation
enhancement
good first issue

It seems that the primal-dual active set (PDAS) algorithm is also a (potentially) powerful algorithm for sparsity optimization. It would helpfully enrich our support solvers if it is implemented. Reference:...

enhancement
good first issue

@chenpnn I find that the file `[utilities.py](https://app.codecov.io/gh/abess-team/skscope/commit/e7031f68f26eed1fd5301b2c511ca1936dbda380/blob/skscope/utilities.py)` is not well covered by python testing. @bbayukari Shall we our test also cover this utility file?

enhancement

Support a new algorithm "Newton Hard-Thresholding Pursuit". See literature: https://spiral.imperial.ac.uk/bitstream/10044/1/89243/4/19-026.pdf

enhancement
good first issue