New callback to save a list of iterates every set number of iterations #1278

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Run time

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Job	Run time
docs	3m 51s
conda (3.11, 1.25)	7m 1s
test (3.10, 1.23)	4m 6s
docker	6m 23s
test (3.12, 1.26)	4m 4s
test-cuda (3.11, 1.25)	2m 18s
pass	1s
	27m 44s