DOC add group logistic regression example (#246)

Author: mathurinm

examples/plot_group_logistic_regression.py

@@ -0,0 +1,44 @@
+"""
+===================================
+Group Logistic regression in python
+===================================
+Scikit-learn is missing a Group Logistic regression estimator. We show how to implement
+one with ``skglm``.
+"""
+
+# Author: Mathurin Massias
+
+import numpy as np
+
+from skglm import GeneralizedLinearEstimator
+from skglm.datafits import LogisticGroup
+from skglm.penalties import WeightedGroupL2
+from skglm.solvers import GroupProxNewton
+from skglm.utils.data import make_correlated_data, grp_converter
+
+n_features = 30
+X, y, _ = make_correlated_data(
+    n_samples=10, n_features=30, random_state=0)
+y = np.sign(y)
+
+
+# %%
+# Classifier creation: combination of penalty, datafit and solver.
+#
+grp_size = 3  # groups are made of groups of 3 consecutive features
+n_groups = n_features // grp_size
+grp_indices, grp_ptr = grp_converter(grp_size, n_features=n_features)
+alpha = 0.01
+weights = np.ones(n_groups)
+penalty = WeightedGroupL2(alpha, weights, grp_ptr, grp_indices)
+datafit = LogisticGroup(grp_ptr, grp_indices)
+solver = GroupProxNewton(verbose=2)
+
+# %%
+# Train the model
+clf = GeneralizedLinearEstimator(datafit, penalty, solver)
+clf.fit(X, y)
+
+# %%
+# Fit check that groups are either all 0 or all non zero
+print(clf.coef_.reshape(-1, grp_size))