Speedup by using external BLAS/LAPACK with CmdStan and CmdStanR/Py

Yeah, I thought about an interactive version before, but had a worry it would cause issues with CI scripts. Made an issue: Interactive installation · Issue #605 · stan-dev/cmdstanr · GitHub

I only added some basic documentation on STAN_CPP_OPTIMS here: 3 Compiling a Stan Program | CmdStan User’s Guide
Mostly because come release time, I noticed there were zero docs on it. Not an expert on them so its definitely lacking more content.

The speedup number there is info I got from Steve on the PR or via e-mail. I did not do extensive research due to a lack of time at release time.

There are many Discourse posts where the solution was removing mtune=native. For example: R session Aborted with changing prior - #3 by dhunfini
There are many more if you search “remove mtune=native” (Search results for 'remove mtune=native' - The Stan Forums - not all are about issues with mtune=native, there are quite a few though).

That issue on Windows might be gone, but no one really knows. There has been positive feedback wrt to ease of install of cmdstanr/py vs rstan and I don’t want to break that :)

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