[Feature] Add support for sparse embedding (#2451)

* Add sparse embedding for dgl and update rgcn example

* upd

* Fix

* Revert "Fix"

This reverts commit 4da87cdfb8b8c3506b7fc7376cd2385ba8045c2a.

* Fix

* upd

* upd

* Fix

* Add unitest and update impl

* fix

* Clean up rgcn example code

* upd

* upd

* update

* Fix

* update score

* sparse for sage

* remove model sparse

* upd

* upd

* remove global norm

* revert delete model_sparse.py

* update according to comments

* Fix doc

* upd

* Fix test

* upd

* lint

* lint

* lint

* upd

* upd

* clean up
Co-authored-by: Ubuntu <ubuntu@ip-172-31-56-220.ec2.internal>

tests/pytorch/test_optim.py

+import torch as th
+import backend as F
+
+from dgl.nn import NodeEmbedding
+from dgl.optim import SparseAdam, SparseAdagrad
+
+import unittest, os
+
+@unittest.skipIf(os.name == 'nt', reason='Do not support windows yet')
+def test_sparse_adam():
+    num_embs = 10
+    emb_dim = 4
+    device=F.ctx()
+    dgl_emb = NodeEmbedding(num_embs, emb_dim, 'test')
+    torch_emb = th.nn.Embedding(num_embs, emb_dim, sparse=True)
+    th.manual_seed(0)
+    th.nn.init.uniform_(torch_emb.weight, 0, 1.0)
+    th.manual_seed(0)
+    th.nn.init.uniform_(dgl_emb.emb_tensor, 0, 1.0)
+
+    dgl_adam = SparseAdam(params=[dgl_emb], lr=0.01)
+    torch_adam = th.optim.SparseAdam(list(torch_emb.parameters()), lr=0.01)
+
+    # first step
+    idx = th.randint(0, num_embs, size=(4,))
+    dgl_value = dgl_emb(idx, device).to(th.device('cpu'))
+    torch_value = torch_emb(idx)
+    labels = th.ones((4,)).long()
+
+    dgl_adam.zero_grad()
+    torch_adam.zero_grad()
+    dgl_loss = th.nn.functional.cross_entropy(dgl_value, labels)
+    torch_loss = th.nn.functional.cross_entropy(torch_value, labels)
+    dgl_loss.backward()
+    torch_loss.backward()
+
+    dgl_adam.step()
+    torch_adam.step()
+    assert F.allclose(dgl_emb.emb_tensor, torch_emb.weight)
+
+    # Can not test second step
+    # Pytorch sparseAdam maintains a global step
+    # DGL sparseAdam use a per embedding step
+
+if __name__ == '__main__':
+    test_sparse_adam()