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Use regularized models in `test_glm` (#864) #2848

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Job	Run time
Linux - pre-commit checks	41s
Tests (ubuntu-latest, py310)	14m 0s
Tests (ubuntu-latest, py311)	12m 46s
Tests (ubuntu-latest, py312)	13m 0s
Tests (windows-latest, py312)	3m 48s
Tests (macos-latest, py312)	1m 33s
Tests (ubuntu-latest, oldies)	17m 25s
Tests (ubuntu-latest, nightly)	12m 48s
	1h 16m 1s