MLflowCallback set experiment name
# What does this PR do?

This PR includes the following:
- Resolves #12841: uses the MLFLOW_EXPERIMENT_NAME environment variable and the mlflow.set_experiment() method to ensure the experiment is created if it does not exist already.
- Fixes #17066: Checks properly for an active run using mlflow.active_run() (Bug introduced in #16131).


## Before submitting
- [ ] This PR fixes a typo or improves the docs (you can dismiss the other checks if that's the case).
- [x] Did you read the [contributor guideline](https://github.com/huggingface/transformers/blob/main/CONTRIBUTING.md#start-contributing-pull-requests),
      Pull Request section?
- [ ] Was this discussed/approved via a Github issue or the [forum](https://discuss.huggingface.co/)? Please add a link
      to it if that's the case.
- [x] Did you make sure to update the documentation with your changes? Here are the
      [documentation guidelines](https://github.com/huggingface/transformers/tree/main/docs), and
      [here are tips on formatting docstrings](https://github.com/huggingface/transformers/tree/main/docs#writing-source-documentation).
- [ ] Did you write any new necessary tests?


## Who can review?

Anyone in the community is free to review the PR once the tests have passed. Feel free to tag
members/contributors who may be interested in your PR.

@sgugger 
_The documentation is not available anymore as the PR was closed or merged._<|||||>Oh actually, multiple checks in our CI are not running for some reason. Can you try sending empty commits to see if it triggers it?<|||||>@sgugger I tried an empty commit, a comment change on the py file, and a rebase. They all trigger only two checks. They seem to pass tho.<|||||>Yes, but for some reason, the whole battery of tests run by cicleCI is not launching (check any other PR to see there are actually 18 to 20 checks). I have no idea why they don't, and can't merge without being sure nothing is broken by the PR.<|||||>@sgugger no clue what's going on. I even tried a new PR in #17091 which also trigger only two CI jobs.<|||||>I have no idea what the problem is. Wrote to circleCI support to try to get some help.<|||||>Closing this PR in favor of #17091, which is running all the CI tests.