Describe the workflow you want to enable

Replacing scipy.sparse arrays with PyData/Sparse in scikit-learn.

Describe your proposed solution

Hello. I'm the maintainer of PyData/Sparse. So far, I feel the conversation between us and the scikit-learn developers has been mostly second-hand.

I'm opening this issue in hopes of opening up a channel, and creating a meta-issue over in the PyData/Sparse repo for any requirements that scikit-learn may have to bring this to fruition. Over time, my hope is we can resolve issues on both sides to enable this.