ENH: Ridge Regression CPU SPMD support

[DDJHB]

Description

TODO

---

Checklist:

Completeness and readability

• I have commented my code, particularly in hard-to-understand areas.
• I have updated the documentation to reflect the changes or created a separate PR with updates and provided its number in the description, if necessary.
• Git commit message contains an appropriate signed-off-by string (see CONTRIBUTING.md for details).
• I have resolved any merge conflicts that might occur with the base branch.

Testing

• I have run it locally and tested the changes extensively.
• All CI jobs are green or I have provided justification why they aren't.
• I have extended testing suite if new functionality was introduced in this PR.

Performance

• I have measured performance for affected algorithms using scikit-learn_bench and provided at least a summary table with measured data, if performance change is expected.
• I have provided justification why performance and/or quality metrics have changed or why changes are not expected.
• I have extended the benchmarking suite and provided a corresponding scikit-learn_bench PR if new measurable functionality was introduced in this PR.

[DDJHB]

/intelci: run

[david-cortes-intel]

Why would it need to skip this one if it's on CPU?

[Alexandr-Solovev]

This test is common for CPU and GPU and this check is necessary just for GPU without native float64 support

[Vika-F]

@DDJHB @Alexandr-Solovev it would be better to add if_gpu condition then.