dump_svmlight_file doesn't handle csr, adds comments #1501
Description
I just loaded an svmlight file to investigate #1476.
I tried to dump a slice but that wasn't possible without converting the matrices to dense in between.
I noticed two things: the features where backwards when trying to dump a sparse matrix, i.e. the entries in the libsvm file started with the highes non-zero entry. This might be the cause of the problem.
Also, dump_svmlight_file add a comment at the beginning of the file.
LibSVM, the de-facto standard SVM implementation, does not recognize these comments and I had to remove them by hand to load the file. There seems to be no way to disable the comment (judging from the docstring).