[MRG] Add Bures-Wasserstein arycenetrs example (and debug the solver)

[rflamary]

Types of changes

All is in the title

Motivation and context / Related issue

How has this been tested (if it applies)

PR checklist

• I have read the CONTRIBUTING document.
• The documentation is up-to-date with the changes I made (check build artifacts).
• All tests passed, and additional code has been covered with new tests.
• I have added the PR and Issue fix to the RELEASES.md file.

[codecov]

Codecov Report

Merging #584 (3f9677e) into master (55a851e) will not change coverage.
The diff coverage is 100.00%.

Additional details and impacted files

@@           Coverage Diff           @@
##           master     #584   +/-   ##
=======================================
  Coverage   96.71%   96.71%           
=======================================
  Files          75       75           
  Lines       15651    15651           
=======================================
  Hits        15137    15137           
  Misses        514      514