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Working on #253, I realize that a lot of code would need to be rewritten to adapt to the classification case, while not much is changing in theory.
One of the reasons for that is the use of dictionaries of parameters (like params_lasso_distillation_x) and the method: _fit_lasso, which are incompatible with LogisticRegression.
I suggest replacing these dictionaries with Scikit-learn models.