Differentiable ABMs with StochasticAD.jl or other approaches

EDIT: The issue title has been edited to showcase that there is now a formal solution on how to differentiate ABMs, see this comment. Implementing a model that integrates with this as one of our "Integration Examples" would be lovely. :)

Perhaps we can even provide some function(s) that make integration easy, as we did when we were writing the integration example with CellListMap.jl (#659 )

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I have tried to use Zygote.jl to differentiate some random and small ABMs. But I get many different errors. Are there data structures that are not supported by Zygote yet? A differentiable ABM would be amazing and allowing to solve many problems.