Add instructions to use a custom model

[Jesse-Islam]

I’m currently testing LassoNet as a potential model in my research and would like to use a custom model. Is there a recommended way to do so? I was scanning the examples and didn’t quite see one.

I am performing a [0,1] classification task on high dimensional data, and would like to use a custom data generator / specific activation functions / add layers.

[Louis Abraham]

I guess you would have to use the model in model.py and reproduce the training loop from interfaces.py.

We should probably add examples to do that!