Converting Bayes NN example to Lux

[yebai]

Let's switch to Lux for the Bayes NN example. The Lux website already provides a conversion that we can adapt:

https://lux.csail.mit.edu/stable/tutorials/intermediate/2_BayesianNN

cc @avik-pal

[shravanngoswamii]

@yebai Do I have to keep things like Plots.jl, NUTS, ReverseDiff and some more things as it is OR replace them to CairoMakie, HMC, Tracker, etc. like in the link you provided just by replicating it!

[yebai]

Let's keep our setup but replace Flux-related stuff with Lux.

[yebai]

@shravanngoswamii let's also try to incorporate suggestions from https://github.com/TuringLang/docs/issues/334.

[shravanngoswamii]

ok, I will look into it!