Hi, I usually encounter many cases when I've forgotten that my input to the `AnyEstimator.fit` method is a sparse matrix, and I've set `fit_intercept=False`.
To avoid this, I could of course make a habit of not tampering with the default `fit_intercept=True`, but I think it would be better and more idiot-proof if the method raises a warning saying something like, "fit_intercept=False works best when the data is centered, and sparse matrices can't be centered. Please set fit_intercept=True for better results." What do you think? If doing this is worthwhile, I'll send a PR. Thanks!
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