Optimizers/objectives with auxiliary output

[f0uriest]

For objectives that require some sort of iterative solution, it can be helpful to store the previous solution as a warm start. Right now this isn't possible/easy due to the way our objectives and optimizers are wrapped, but might be do-able. All of the jax AD stuff has a has_aux option where the first output of a function is the mathemtical function being differentiated, while the 2nd is internal info like solver state that is not differentiated. We could plumb this through and add some logic to the optimizer wrappers to handle this. Might also make stuff like proximal etc a lot easier?