glinternet example

[JamesYang007]

Would be nice to support glinternet.

[JamesYang007]

• For a full support, we need the following matrix: ad.matrix.one_hot. It should one-hot encode the specified columns of mat with user-provided levels.
• ad.matrix.standardize. It should take in a vector of centers and scales.
• For continuous-continuous case, we only need Z_1, Z_2, Z_1 * Z_2 (no need for the ones vector).
• User Guide example. Hold off until we do a full revamp of user guide.

Things to check:

• How does glinternet center/standardize the columns with cont-cont? Seems center/standardize original features, then center/standardize further the interaction terms.
• How does glinternet apply penalty for cont-cont groups? Given the above point, the penalty should just be sqrt(3) (sqrt of the group size).
• Check KKT condition from glinternet output.