CUDATreeLearner: free GPU memory in destructor if any allocated (#4963)

* CUDATreeLearner: free GPU memory in destruuctor if any allocated

* Minor changes: checking for num_gpu_feature_groups is not needed

* Trigger CI again

src/treelearner/cuda_tree_learner.cpp

@@ -63,6 +63,43 @@ CUDATreeLearner::CUDATreeLearner(const Config* config)
 }
 
 CUDATreeLearner::~CUDATreeLearner() {
+  #pragma omp parallel for schedule(static, num_gpu_)
+
+  for (int device_id = 0; device_id < num_gpu_; ++device_id) {
+    CUDASUCCESS_OR_FATAL(cudaSetDevice(device_id));
+
+    if (device_features_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_features_[device_id]));
+    }
+
+    if (device_gradients_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_gradients_[device_id]));
+    }
+
+    if (device_hessians_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_hessians_[device_id]));
+    }
+
+    if (device_feature_masks_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_feature_masks_[device_id]));
+    }
+
+    if (device_data_indices_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_data_indices_[device_id]));
+    }
+
+    if (sync_counters_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(sync_counters_[device_id]));
+    }
+
+    if (device_subhistograms_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_subhistograms_[device_id]));
+    }
+
+    if (device_histogram_outputs_[device_id] != NULL) {
+      CUDASUCCESS_OR_FATAL(cudaFree(device_histogram_outputs_[device_id]));
+    }
+  }
 }