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Add Multinomial GLM #3149

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@jachymb

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@jachymb

We already have binomial_logit_glm and categorical_logit_glm

Multinomial distribution generalizes both Binomial and Categorical, is still in the exponential family and the logit (softmax) parametrization seem natural - we already have multinomial_logit. So multinomial_logit_glm is a missing piece to be completed.

I'm actually using this in an application (modelling counts of sold products each day), where I simply iterate multinomial_logit, but it would be cool to have an optimized single-call function.

Related issue: #1964

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