Excessive Memory Allocations in AbstractMCMC Calls

[abhinavsns]

I noticed that the AbstractMCMC interface causes many memory allocations. It appears that each call to step reconstructs key objects, such as the Hamiltonian, integrator, adaptor, and state/transition objects, instead of reusing them.

Noticed most allocations in

AdvancedHMC.jl/src/abstractmcmc.jl

Lines 198 to 199 in 646202c

	# Make new transition.
	t = transition(rng, h, κ, t_old.z)

This behavior contrasts with the direct AdvancedHMC approach, which reuses stateful objects and minimizes allocations.