Speedup `sample` and allow specifying `compile_kwargs` (several major changes related to step samplers) #4806

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Job	Run time
Check for changes	23s
macos (macos-latest, float64, 3.12, tests/sampling/test_parallel.py tests/test_data.py tests/vari...	7m 39s
macos (macos-latest, float64, 3.12, tests/sampling/test_mcmc.py )	4m 26s
external_samplers (ubuntu-20.04, float64, 3.12, tests/sampling/test_jax.py tests/sampling/test_mc...	6m 9s
float32 (windows-latest, float32, 3.12, tests/sampling/test_mcmc.py tests/ode/test_ode.py tests/o...	17s
macos (macos-latest, float64, 3.12, tests/backends/test_arviz.py tests/variational/test_updates.py )	4m 27s
ubuntu (ubuntu-20.04, float64, 3.12, tests/test_util.py tests/test_pytensorf.py tests/test_math.p...	17m 59s
ubuntu (ubuntu-20.04, float64, 3.12, tests/distributions/test_continuous.py tests/distributions/t...	31m 3s
windows (windows-latest, float64, 3.10, tests/variational/test_approximations.py tests/variationa...	13s
ubuntu (ubuntu-20.04, float64, 3.12, tests/distributions/test_censored.py tests/distributions/tes...	15m 2s
windows (windows-latest, float64, 3.10, tests/model/test_core.py tests/sampling/test_mcmc.py)	11s
ubuntu (ubuntu-20.04, float64, 3.12, tests/tuning/test_scaling.py tests/tuning/test_starting.py t...	13m 8s
windows (windows-latest, float64, 3.10, tests/gp/test_cov.py tests/gp/test_gp.py tests/gp/test_me...	12s
ubuntu (ubuntu-20.04, float64, 3.12, tests/distributions/test_timeseries.py tests/gp/test_cov.py ...	21m 16s
windows (windows-latest, float64, 3.10, tests/step_methods/test_metropolis.py tests/step_methods/...	13s
ubuntu (ubuntu-20.04, float64, 3.12, tests/backends/test_mcbackend.py tests/distributions/test_tr...	22m 0s
all_tests	1s
	2h 24m 39s