use jax pure_callback in cvxpy and scipy wrappers, to support JAX_CUSTOM_VJP3=1 - #650
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use jax pure_callback in cvxpy and scipy wrappers, to support JAX_CUSTOM_VJP3=1
An upcoming jax change (JAX_CUSTOM_VJP3=1) requires the use of pure_callback
when wrapping host Python solvers like CVXPY and SciPy in custom_vjp calls. The
bonus is that this also makes the code jittable! And there should be ~0
overhead on the eager path.