Speedup `sample` and allow specifying `compile_kwargs` (several major changes related to step samplers) #4811

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Job	Run time
Check for changes	22s
macos (macos-latest, float64, 3.12, tests/sampling/test_parallel.py tests/test_data.py tests/vari...	7m 44s
macos (macos-latest, float64, 3.12, tests/sampling/test_mcmc.py )	4m 48s
float32 (windows-latest, float32, 3.12, tests/sampling/test_mcmc.py tests/ode/test_ode.py tests/o...	26m 22s
ubuntu (ubuntu-20.04, float64, 3.12, tests/test_util.py tests/test_pytensorf.py tests/test_math.p...	17m 47s
macos (macos-latest, float64, 3.12, tests/backends/test_arviz.py tests/variational/test_updates.py )	3m 59s
external_samplers (ubuntu-20.04, float64, 3.12, tests/sampling/test_jax.py tests/sampling/test_mc...	5m 47s
ubuntu (ubuntu-20.04, float64, 3.12, tests/distributions/test_continuous.py tests/distributions/t...	31m 33s
windows (windows-latest, float64, 3.10, tests/variational/test_approximations.py tests/variationa...	11m 42s
ubuntu (ubuntu-20.04, float64, 3.12, tests/distributions/test_censored.py tests/distributions/tes...	14m 27s
windows (windows-latest, float64, 3.10, tests/model/test_core.py tests/sampling/test_mcmc.py)	17m 31s
ubuntu (ubuntu-20.04, float64, 3.12, tests/tuning/test_scaling.py tests/tuning/test_starting.py t...	13m 13s
windows (windows-latest, float64, 3.10, tests/gp/test_cov.py tests/gp/test_gp.py tests/gp/test_me...	12m 40s
ubuntu (ubuntu-20.04, float64, 3.12, tests/distributions/test_timeseries.py tests/gp/test_cov.py ...	22m 5s
ubuntu (ubuntu-20.04, float64, 3.12, tests/backends/test_mcbackend.py tests/distributions/test_tr...	21m 36s
windows (windows-latest, float64, 3.10, tests/step_methods/test_metropolis.py tests/step_methods/...	13m 35s
all_tests	1s
	3h 45m 12s