[BugFix] involve indices_devices for other dataset object. (#3810)

* involve indices_devices for other dataset object.

* modify raise error when device not found.

* remove empty line

* fix line too long

python/dgl/dataloading/dataloader.py

@@ -707,6 +707,7 @@ class DataLoader(torch.utils.data.DataLoader):
         self.indices = indices      # For PyTorch-Lightning
         num_workers = kwargs.get('num_workers', 0)
 
+        indices_device = None
         try:
             if isinstance(indices, Mapping):
                 indices = {k: (torch.tensor(v) if not torch.is_tensor(v) else v)
@@ -718,7 +719,11 @@ class DataLoader(torch.utils.data.DataLoader):
         except:     # pylint: disable=bare-except
             # ignore when it fails to convert to torch Tensors.
             pass
-
+        if indices_device is None:
+            if not hasattr(indices, 'device'):
+                raise AttributeError('Custom indices dataset requires a \"device\" \
+                attribute indicating where the indices is.')
+            indices_device = indices.device
         self.device = _get_device(device)
 
         # Sanity check - we only check for DGLGraphs.