Trying the approach to just change forward diff gradient to threaded gradient

[TejasweeSulekh]

Checklist

• [ ] Appropriate tests were added
• [ ] Any code changes were done in a way that does not break public API
• [ ] All documentation related to code changes were updated
• [ ] The new code follows the contributor guidelines, in particular the SciML Style Guide and COLPRAC.
• [ ] Any new documentation only uses public API

Additional context

This is a draft PR for adding PolyesterForwardDiff for AD backed Optimization. So far, I have changed the gradient to threaded gradient. I still have to figure out how to implement the Hessian using PolyesterForwardDiff. I didn't because I am not sure If I should separately calculate the hessian and add it as f.hess or should I try adding some changes in the numauto_color_hessian() function.