Add changelog information to docs

Many repos keep a changelog. Recommended practices / style are here: https://keepachangelog.com/en/1.0.0/

Suggested actions:

- [ ] Add CHANGELOG.md to repo, in format detailed above
- [ ] Key changes of past few releases populated
- [ ] Include changelog into build documentation (e.g. markdown-to-RST extension [here](https://stackoverflow.com/questions/46278683/include-my-markdown-readme-into-sphinx))

Start by checking the repository's documentation build and release history, then review the Keep a Changelog guidance linked in the issue. Add CHANGELOG.md with key changes from past releases and include it in the built documentation using the referenced Markdown-to-RST approach. Done means the changelog is present, populated, and appears in generated docs.

Written by the indexing model from the issue text.