I was wondering how I can produce such fancy legends in matplotlib. In particular, I'd like to know how to group, for example, both solid and dashed blue lines which correspond to $\tau=10$ side by side, or all dashed (or solid) lines together as in the lower part of the legend.

The image is taken from

Take-home messages

1. The legend docs specifies a more natural way to group the entries using HandlerTuple (example here). But since mpl places the markers horizontally, such an approach is orthogonal to what I wished :). If it doesn't bother you, go for that option first.

2. As far as I understood, custom legends are designed such that they don't exchange any information with the data you want to plots. For example, in my case, I cannot tell the AnyObjectHandler how many lines are going to be grouped, what are their linestyle, etc. It is a good decision for generality, with the expense of a (minimal) harm to the code refactoring.