Oversampling strategy for iterable datasets in `interleave_datasets`
Hi @lhoestq,
I plunged into the code and it should be manageable for me to work on it!
#take

Also, setting `d1`, `d2` and `d3` as you did raised a `SyntaxError: 'yield' inside list comprehension` for me, on Python 3.8.10.
The following snippet works for me though:
```
d1 = IterableDataset(ExamplesIterable((lambda: (yield from [(i, {"a": i}) for i in [0, 1, 2]])), {}))
d2 = IterableDataset(ExamplesIterable((lambda: (yield from [(i, {"a": i}) for i in [10, 11, 12, 13]])), {}))
d3 = IterableDataset(ExamplesIterable((lambda: (yield from [(i, {"a": i}) for i in [20, 21, 22, 23, 24]])), {}))
```

 Great @ylacombe thanks ! I'm assigning you this issue Hi @ylacombe :) Is there anything I can do to help ? Feel free to ping me if you have any question :) Hi @lhoestq,

I actually have already wrote the code last time [on this commit](https://github.com/ylacombe/datasets/commit/84769db97facc78a33ec53f7b1b395951e1804df) but I still have to change the docs and write some tests though. I'm working on it.

However, I still your advice on one matter. 
In #4831, when using a `Dataset` list with probabilities, I had change the original behavior so that it stops as soon as one or all datasets are out of samples. By nature, this behavior can't be applied with an `IterableDataset` because one only knows an iterable dataset is out of sample when receiving a StopIteration error after calling the iterator once again. 
To sum up, as it is right know, the behavior is not consistent with an `IterableDataset`  list or a `Dataset` list, when using probabilities.
To be honest, I think that the current behavior with a `Dataset` list is desirable and avoid having too many samples, so I would recommand keeping that as it is, but I can understand the desire to have the same behavior for both classes. 
What do you think ? Please let me know if you need more details.


EDIT:
Here is an example:
```
>>> from tests.test_iterable_dataset import *
>>> d1 = IterableDataset(ExamplesIterable((lambda: (yield from [(i, {"a": i}) for i in [0, 1, 2]])), {}))
>>> d2 = IterableDataset(ExamplesIterable((lambda: (yield from [(i, {"a": i}) for i in [10, 11, 12, 13]])), {}))
>>> d3 = IterableDataset(ExamplesIterable((lambda: (yield from [(i, {"a": i}) for i in [20, 21, 22, 23, 24]])), {}))
>>> dataset = interleave_datasets([d1, d2, d3], probabilities=[0.7, 0.2, 0.1], seed=42)
>>> [x["a"] for x in dataset]
[10, 0, 11, 1, 2, 20, 12, 13]
>>> from tests.test_arrow_dataset import *
>>> d1 = Dataset.from_dict({"a": [0, 1, 2]})
>>> d2 = Dataset.from_dict({"a": [10, 11, 12]})
>>> d3 = Dataset.from_dict({"a": [20, 21, 22]})
>>> interleave_datasets([d1, d2, d3], probabilities=[0.7, 0.2, 0.1], seed=42)["a"]
[10, 0, 11, 1, 2]
[10, 0, 11, 1, 2]
```
  Hi ! Awesome :) 

Maybe you can pre-load the next sample to know if the dataset is empty or not ?
This way it should be possible to have the same behavior for `IterableDataset` Hi @ylacombe let us know if we can help with anything :) Hi @lhoestq, I've finally made some advances in the matter. I've modified the `IterableDataset` behavior so that it aligns with the `Dataset` behavior as we have discussed. The documentation has been dealt with too. 
It works as expected on my examples. However I'm having trouble figuring out how to test `interleave_datasets` on `test_iterable_datasets.py` as I have never worked with pytest. Could you help me on that or give me some indications? 
 Thanks @ylacombe :)

Using the `pytest` command, you can run all the functions in a python file that start with "test_*" and make sure they return not errors:
```
pytest tests/test_iterable_dataset.py
```

In our case it can be nice to define a `test_interleave_datasets_with_oversampling` function. This function can contain the code example that we mentioned earlier in this github issue to make sure it works as expected. Resolved via #5036.
In https://github.com/huggingface/datasets/pull/4831 @ylacombe added an oversampling strategy for `interleave_datasets`. However right now it doesn't work for datasets loaded using `load_dataset(..., streaming=True)`, which are `IterableDataset` objects.

It would be nice to expand `interleave_datasets` for iterable datasets as well to support this oversampling strategy

```python
>>> from datasets.iterable_dataset import IterableDataset, ExamplesIterable
>>> d1 = IterableDataset(ExamplesIterable(lambda: [(yield i, {"a": i}) for i in [0, 1, 2]], {}))
>>> d2 = IterableDataset(ExamplesIterable(lambda: [(yield i, {"a": i}) for i in [10, 11, 12, 13]], {}))
>>> d3 = IterableDataset(ExamplesIterable(lambda: [(yield i, {"a": i}) for i in [20, 21, 22, 23, 24]], {}))
>>> dataset = interleave_datasets([d1, d2, d3])  # is supported
>>> [x["a"] for x in dataset]
[0, 10, 20, 1, 11, 21, 2, 12, 22]
>>> dataset = interleave_datasets([d1, d2, d3], stopping_strategy="all_exhausted")  # is not supported yet
>>> [x["a"] for x in dataset]
[0, 10, 20, 1, 11, 21, 2, 12, 22, 0, 13, 23, 1, 0, 24]
```

This can be implemented by adding the strategy to both `CyclingMultiSourcesExamplesIterable` and `RandomlyCyclingMultiSourcesExamplesIterable` used in `_interleave_iterable_datasets` in `iterable_dataset.py`

I would be happy to share some guidance if anyone would like to give it a shot :)