Add a get_statistics() method

[anirudt]

Hi,

Is there any roadmap for adding a get_statistics() function, like the one that Shogun offers, which helps us to get the statistics of a certain model? It could be useful like here, where the nature of the objective function could be a useful insight to assigning a certain value of maxiters.

[perimosocordiae]

I haven't considered keeping track of per-iteration objective function values, though I see why it might be useful in some cases.

My main concern is that this might negatively impact time/memory performance for cases where the user doesn't need the training statistics. I'd like there to be a parameter that controls whether these sorts of debugging/tuning statistics are collected.

[anirudt]

I agree. Maybe we can have a time/memory complexity profiling and decide likewise? I could try my hand on this.