Fix contrib fused_adam to work correctly with multi-GPU (#752)

The cuda kernel used by fused-adam was using the default stream
on the default device. The kernel needs use the same device as
the parameter tensor.

Fixed by using context manager to set correct default device. For
the use_mt case, raised an error. Alternatively, the use_mt
case could launch one kernel per cuda device.

The non-contrib version will also need to be fixed.
Co-authored-by: Mandeep Singh Baines <msb@fb.com>

apex/contrib/optimizers/fused_adam.py

@@ -130,6 +130,7 @@ class FusedAdam(torch.optim.Optimizer):
                     tensorlists = [[],[],[],[],[]]
                 else:
                     tensorlists = [[],[],[],[]]
+                tensordevice = None
 
             for p, grad, output_param in zip(group['params'], grads_this_group, output_params_this_group):
                 #note: p.grad should not ever be set for correct operation of mixed precision optimizer that sometimes sends None gradients
@@ -163,7 +164,14 @@ class FusedAdam(torch.optim.Optimizer):
 
                     for tl, t in zip(tensorlists, pl):
                         tl.append(t)
+
+                    if tensordevice is None:
+                        tensordevice = p.device
+                    elif tensordevice != p.device:
+                        raise RuntimeError('FusedAdam does not support use_mt with tensors on multiple device')
+
                 else:
+                    with torch.cuda.device(p.device):
                         fused_adam_cuda.adam(p.data,
                                              out_p,
                                              exp_avg,
@@ -180,6 +188,7 @@ class FusedAdam(torch.optim.Optimizer):
                                              group['weight_decay'])
 
             if self._use_multi_tensor:
+                with torch.cuda.device(tensordevice):
                     multi_tensor_applier(
                         fused_adam_cuda.adam_mt,
                         self._overflow_buf,