New callback to save a list of iterates every set number of iterations #1274

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Run time

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Job	Run time
test (3.10, 1.23)	4m 7s
test (3.12, 1.26)	3m 55s
docs	4m 4s
conda (3.11, 1.25)	7m 7s
docker	6m 55s
test-cuda (3.11, 1.25)	2m 13s
pass	1s
	28m 22s