Add posibility to build with sanitizers enabled

[LukasWoodtli]

The sanitizers 'address', 'thread', and 'undefined behaviour' can
be activated.

This is a replacement for #229

Summary

Add the possibility to build with sanitizer support (address, thread, undefined).

Motivation and Context

The sanitizers are usefull for finding leaks, race conditions or undefined behaviour.

How Has This Been Tested?

Tested locally. They can be added to CI as soon as all found bugs are fixed.

Types of changes

• Bug fix (non-breaking change which fixes an issue).
• New feature (non-breaking change which adds functionality).
• Breaking change (fix or feature that would cause existing functionality to not work as expected).

Checklist:

• It is my own work, its copyright is implicitly assigned to the project and no substantial part of it has been copied from other sources (including Stack Overflow). In rare occasions this is acceptable, like in CMake modules where the original copyright information should be kept.
• I'm using the same code standards as the existing code (indentation, spacing, variable naming, ...).
• I've added tests for my code.
• I have verified whether my change requires changes to the documentation
• My change either requires no documentation change or I've updated the documentation accordingly.
• My branch has been rebased to main, keeping only relevant commits.