New callback to save a list of iterates every set number of iterations #1304

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Job	Run time
docs	3m 56s
docker	7m 4s
test (3.10, 1.23)	4m 8s
conda-matrix	1s
test (3.12, 1.26)	3m 39s
test-cuda (3.11, 1.25)	2m 11s
conda (3.10, 1.23)	7m 32s
conda (3.12, 1.26)	7m 20s
conda-reindex	0s
pass	1s
	35m 52s