Added support for infinite gradients

[Aziz-Shameem]

Hi

Checking for infinite gradients based on this issue.

I am adding the error message when running pytest here for ease of checking :

=========================================== short test summary info ===========================================
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-sos_ls] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-typed_sos_ls] - optFAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-sos_ls] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-typed_sos_ls] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-sos_ls_with_info] -FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-typed_sos_ls] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-sos_ls_with_info] -imagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-sos_ls_with_info] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-False-jac1-sos_ls_with_info] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
 optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-True-jac1-sos_ls] - optimagic.FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-True-jac1-sos_ls] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-True-jac1-typed_sos_ls] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_function_formats_ls.py::test_least_squares_minimize_dict[scipy_ls_lm-True-jac1-sos_ls_with_info] - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_internal_optimization_problem.py::test_pytree_problem_jac - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating jac during optimization.
FAILED tests/optimagic/optimization/test_internal_optimization_problem.py::test_pytree_problem_fun_and_jac - optimagic.exceptions.UserFunctionRuntimeError: An error occurred when evaluating fun_and_jac during optimiz...
================ 8 failed, 2539 passed, 64 skipped, 1 xfailed, 28 warnings in 96.11s (0:01:36) ================

[Aziz-Shameem]

Close PR due to errors