benchopt / benchopt/benchmark_sqrt_lasso
ENH silence convergence warnings in skglm
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Description
Running the bench I get a lot of these:
```
/home/mathurin/workspace/skglm/skglm/experimental/pdcd_ws.py:155: ConvergenceWarning: PDCD_WS did not converge for tol=1.000e-06 and max_iter=5.
Considering increasing `max_iter` or `tol`.
warnings.warn(
/home/mathurin/workspace/skglm/skglm/experimental/pdcd_ws.py:155: ConvergenceWarning: PDCD_WS did not converge for tol=1.000e-06 and max_iter=1.
Considering increasing `max_iter` or `tol`.
warnings.warn(
/home/mathurin/workspace/skglm/skglm/experimental/pdcd_ws.py:155: ConvergenceWarning: PDCD_WS did not converge for tol=1.000e-06 and max_iter=2.
Considering increasing `max_iter` or `tol`.
```
They should be silenced as in https://github.com/benchopt/benchmark_lasso/blob/main/solvers/sklearn.py#L33 for example
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