Add option for parallelization of Perturbed maximizers

[BatyLeo]

It would be interesting to be able to run perturbed maximizers in parallel, especially when nb_samples is high or/and the combinatorial algorithm has a long runtime.

One option would be to use ThreadsX.jl. For this, we need to wait until the following PR is merged: https://github.com/tkf/ThreadsX.jl/pull/195 in order to not have conflict with SetField version.