Add L1 penalty and coordinate descent solver to TweedieRegression #16637
Description
The L1 penalty with coordinate descent solver for GLM was proposed in #9405 and was not included in the minimal implementation merged in #14300.
It would be be good to add it, however care must to taken to avoid redundancy with the existing coordinate descent solver in ElasticNet.
Preliminary benchmarks were done in #9405 (comment)