Add option for termination criterion with tolerance

[GMi-Materials]

Describe the workflow you want to enable

Add an option for a termination criterion similar to "tol" implemented in sklearn.feature_selection.SequentialFeatureSelector:
https://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.SequentialFeatureSelector.html

Describe alternatives you've considered, if relevant

While the sklearn SequentialFeatureSelector can do this, it misses the history callback you get in this package, which i think is very nice and helpful.

Additional context

The version of mlxtend i am using is 0.23.1

[rasbt]

Thanks for the note, I agree that this would be a good addition! I may not be able to add it soonish but would be happy about any contributions!