Fix Segmentation Fault and ``ZeroDivisionError`` in Group Lasso

[Badr-MOUFAD]

Context

I run unittest of skglm and got an error for celer namely segmentation fault. The tests were run on a Mac. Surprisingly, the problem doesn't arise for Linux (no errors in skglm CI)

Contributions of the PR

After debugging, the segmentation fault (out of bound index) comes from an un initialized variable. Other errors, due to changes of scikit-learn API, were fixed as well.

[codecov-commenter]

Codecov Report

All modified and coverable lines are covered by tests :white_check_mark:

Project coverage is 88.53%. Comparing base (c1b564c) to head (138bd97).

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Additional details and impacted files

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[Badr-MOUFAD]

@mathurinm, don't mind the 10 files diff, it is just GitHub glitch

[mathurinm]

@Badr-MOUFAD my solution in that case is to merge main into the branch, now it is reduced to 3 files

[mathurinm]

Thanks @Badr-MOUFAD