Fix ModelCheckpoint not being picklable.

[quinor]

Before submitting

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• Did you write any new necessary tests?
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What does this PR do?

Fixes #1628 (issue).

PR review

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[codecov]

Codecov Report

Merging #1632 into master will increase coverage by 0%.
The diff coverage is 100%.

@@          Coverage Diff           @@
##           master   #1632   +/-   ##
======================================
  Coverage      89%     89%           
======================================
  Files          71      71           
  Lines        4164    4165    +1     
======================================
+ Hits         3689    3690    +1     
  Misses        475     475