Report divergences from JAX samplers

[mohammed052]

Description

PyMC users are used to getting an immediate report when there are divergences in the standard NUTS sampler. So I added a warning to be printed in case of divergence.

Related Issue

• [x] Closes #7041

Checklist

• [ ] Checked that the pre-commit linting/style checks pass
• [ ] Included tests that prove the fix is effective or that the new feature works
• [ ] Added necessary documentation (docstrings and/or example notebooks)
• [ ] If you are a pro: each commit corresponds to a relevant logical change

Type of change

• [ ] New feature / enhancement
• [x] Bug fix
• [ ] Documentation
• [ ] Maintenance
• [ ] Other (please specify):

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📚 Documentation preview 📚: https://pymc--7094.org.readthedocs.build/en/7094/

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[codecov[bot]]

Codecov Report

All modified and coverable lines are covered by tests :white_check_mark:

Comparison is base (7bb2ccd) 92.21% compared to head (30a9c14) 92.21%. Report is 2 commits behind head on main.

Additional details and impacted files

@@           Coverage Diff           @@
##             main    #7094   +/-   ##
=======================================
  Coverage   92.21%   92.21%           
=======================================
  Files         101      101           
  Lines       16912    16916    +4     
=======================================
+ Hits        15595    15599    +4     
  Misses       1317     1317           

Files	Coverage Δ
pymc/sampling/mcmc.py	87.79% <100.00%> (+0.10%)	:arrow_up:

[ricardoV94]

@mohammed052 it seems like this issue was already being worked out in https://github.com/pymc-devs/pymc/pull/7051

In this case it should be fine for you to overtake it, but in general you don't want to do that as we will likely give priority to the older PRs. In any case the same comment I did here, applies to your changes: https://github.com/pymc-devs/pymc/pull/7051#issuecomment-1845537979