Adding a generative additive model to the scikit-learn linear_models module

[tsainez]

What does everybody think of mimicking pyGAM's functionality but in scikit-learn's linear_models module? I asked ChatGPT to write me an implementation of such a class, and I've got this so far: tsainez@581a04c

[glemaitre]

You can have a look at this WIP PR: #19914