Set CUDA device before initializing process group #720
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Issue: For some runs we have observed that GPU 0 has higher memory consumption than other GPUs.
Fix: As proposed by @epwalsh, setting the CUDA device before initializing the process group appears to help. I have not confirmed that GPU memory becomes equal between GPUs (because of wandb issues), but have seen reduced memory consumption in GPU 0. There shouldn't be any harm to making this change, even if it is not 100% confirmed.