Add transform TO `run_inference_loop`

[reubenharry]

A first step towards issue #615.

A simple change, in case a user doesn't want to store all the history of the state in a large high dimensional run, for reasons of memory.

A few important guidelines and requirements before we can merge your PR:

• [x] If I add a new sampler, there is an issue discussing it already;
• [x] We should be able to understand what the PR does from its title only;
• [x] There is a high-level description of the changes;
• [x] There are links to all the relevant issues, discussions and PRs;
• [x] The branch is rebased on the latest main commit;
• [x] Commit messages follow these guidelines;
• [x] The code respects the current naming conventions;
• [x] Docstrings follow the numpy style guide
• [x] pre-commit is installed and configured on your machine, and you ran it before opening the PR;

[codecov[bot]]

Codecov Report

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

Comparison is base (08e0d75) 99.22% compared to head (375ec14) 99.22%.

Additional details and impacted files

```diff @@ Coverage Diff @@ ## main #621 +/- ## ======================================= Coverage 99.22% 99.22% ======================================= Files 57 57 Lines 2581 2581 ======================================= Hits 2561 2561 Misses 20 20 ```

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[junpenglao]

Thanks! Please add a docstring (And while you are at it, could you update the docstring as well?)