[MRG] Fix Github action version v2 -> v4 and fix test with skorch update

[tgnassou]

Change the version of GitHub action from v2 to v4.

Fix the test with DEV and deep method since the skorch updates change the type of NeuralNet.

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 77.09%. Comparing base (ec2f00c) to head (fef9518).
Report is 1 commits behind head on main.

❗ There is a different number of reports uploaded between BASE (ec2f00c) and HEAD (fef9518). Click for more details.

HEAD has 3 uploads less than BASE

Flag	BASE (ec2f00c)	HEAD (fef9518)
	4	1

Additional details and impacted files

@@             Coverage Diff             @@
##             main     #292       +/-   ##
===========================================
- Coverage   97.07%   77.09%   -19.98%     
===========================================
  Files          63       52       -11     
  Lines        6558     5921      -637     
===========================================
- Hits         6366     4565     -1801     
- Misses        192     1356     +1164     

[tgnassou]

The codecov is wrong. I tested locally and all is fine!