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[BUG] Client Optimizer is not initiated while running DeepSpeed Megatron-LM GPT2  #1369

Description

@rraminen

Dataset: Wikipedia
Docker Image: pytorch/pytorch:1.8.1-cuda11.1-cudnn8-devel
GPU: V100
MP_SIZE=8
NUM_WORKERS=1
NUM_GPUS_PER_WORKER=8

Steps to run:
cd DeepSpeed/DeepSpeedExamples/Megatron-LM
bash scripts/ds_zero2_pretrain_gpt2_model_parallel.sh

Following error is observed while running DeepSpeed Megatron-LM GPT2 withwikipedia dataset

Traceback (most recent call last):
File "pretrain_gpt2.py", line 713, in
main()
File "pretrain_gpt2.py", line 661, in main
model, optimizer, lr_scheduler = setup_model_and_optimizer(args)
File "pretrain_gpt2.py", line 167, in setup_model_and_optimizer
model, optimizer, _, lr_scheduler = deepspeed.initialize(
File "/opt/conda/lib/python3.8/site-packages/deepspeed/init.py", line 131, in initialize
engine = DeepSpeedEngine(args=args,
File "/opt/conda/lib/python3.8/site-packages/deepspeed/runtime/engine.py", line 166, in init
self._do_sanity_check()
File "/opt/conda/lib/python3.8/site-packages/deepspeed/runtime/engine.py", line 681, in _do_sanity_check
assert isinstance(self.client_optimizer, Optimizer),
AssertionError: Client Optimizer (type = <class 'NoneType'> is not instantiated but Client LR Scheduler is instantiated

ds_report output:

DeepSpeed C++/CUDA extension op report

NOTE: Ops not installed will be just-in-time (JIT) compiled at
runtime if needed. Op compatibility means that your system
meet the required dependencies to JIT install the op.

JIT compiled ops requires ninja
ninja .................. [OKAY]

op name ................ installed .. compatible

cpu_adam ............... [YES] ...... [OKAY]
fused_adam ............. [YES] ...... [OKAY]
fused_lamb ............. [YES] ...... [OKAY]
sparse_attn ............ [NO] ....... [OKAY]
transformer ............ [YES] ...... [OKAY]
stochastic_transformer . [YES] ...... [OKAY]
[WARNING] async_io requires the dev libaio .so object and headers but these were not found.
[WARNING] async_io: please install the libaio-dev package with apt
[WARNING] If libaio is already installed (perhaps from source), try setting the CFLAGS and LDFLAGS environment variables to where it can be found.
async_io ............... [NO] ....... [NO]
transformer_inference .. [NO] ....... [OKAY]
utils .................. [YES] ...... [OKAY]
quantizer .............. [NO] ....... [OKAY]

DeepSpeed general environment info:
torch install path ............... ['/opt/conda/lib/python3.8/site-packages/torch']
torch version .................... 1.8.1
torch cuda version ............... 11.1
nvcc version ..................... 11.1
deepspeed install path ........... ['/opt/conda/lib/python3.8/site-packages/deepspeed']
deepspeed info ................... 0.5.3+a708b18, a708b18, master
deepspeed wheel compiled w. ...... torch 1.8, cuda 11.1

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