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Regression in LinearSVC #3977

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@amueller

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@amueller

It looks like there is a regression in LinearSVC. I ran the bench_mnist.py script in #3939 and compared it against ##3204, where the main difference is that #3939 tracks master.
The fourier_approx_svm results are much worse on master and take longer.

Classifier                  train-time       test-time      error-rate   
fourier_approx_svm         139.248281956   1.81456899643      0.0487 (old)
fourier_approx_svm         231.988574028   1.94094800949       0.072 (master)

On the old branch I get

sklearn/svm/base.py:731: ConvergenceWarning: Liblinear failed to converge, increase the number of iterations.
  "the number of iterations.", ConvergenceWarning)

which I don't get on master...

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