WIP support fit_intercept in remaining solvers

[cassiofragadantas]

List of solvers to add fit_intercept support:

• Blitz
• Cd (only dense)
• Julia-PGD (only dense)
• L-BFGS-B (only dense)
• Lightning (only dense)
• noncvx-pro (only dense)
• Python-PGD (only dense)
• R-PGD (only dense)
• skglm (only dense)

Other:

• spams: could not run (seg fault)

For some solvers, fit_intercept was added only for dense datasets (explicitly indicated above).

[cassiofragadantas]

CI still to be verified.