Try using step_callback to get gpflow training loss history

Related issue(s)/PRs: #617

Summary

Investigate using the the the step callback mechaism to track training loss history for the gpflow scipy optimizer.

Having said that, it may be better to fix this in gpflow directly, though that would involve figuring out how (or whether) to handle interaction with other callbacks, as well as how to extend OptimizeResult.

Fully backwards compatible: yes

PR checklist

[ ] The quality checks are all passing
[ ] The bug case / new feature is covered by tests
[ ] Any new features are well-documented (in docstrings or notebooks)

secondmind-labs / trieste

Try using step_callback to get gpflow training loss history #772

Summary

PR checklist