GPT2 should not store/compute cached activations during finetuning
This PR tries to fix the issue with large memory usage from GPT2 during fine-tuning.

## Quick estimations

@LysandreJik compared memory usage with @minimaxir GPT2-simple (https://github.com/minimaxir/gpt-2-simple):

*Small model*, batch size 4, sequence length 512 (roughly similar):
- us => 9.9GB,
- GPT2-simple => 8.5GB

Increasing to a 1024 length:
- us => 20.4GB...,
- GPT2-simple => still 8.5GB

*Medium model*, batch size de 4, sequence length de 512
- us => 23.36GB. OOM on a titan with 1024 seq len.
- GPT2-simple throws an error related to layers not contained in the checkpoint

## Possible reason

Investigating our `run_lm_finetuning` script and GPT2 model showed that we are alway computing/storing cached hidden-states (which are normally only useful for decoding).

This PR attempt to fix this most probable source of large memory usage.
It cleans up a little bit GPT2 codebase at the same time.

I haven't tried it yet on a large scale test.

cc @LysandreJik @arnicas
Not sure which size of GPT-2 you're testing with, but the 355M version utilizes gradient checkpointing for finetuning in gpt-2-simple, which is not the case with the 124M version w/ Transformers.

That might be a useful test case.<|||||>I just tried this with gpt-2-medium on my poetry dataset and have the same memory error as before.  Complete info below:
````
python run_lm_finetuning.py --output_dir=output --model_type=gpt2 --model_name_or_path=gpt2-medium --do_train --train_data_file=all_gen_lines.txt --per_gpu_train_batch_size=1
12/29/2019 17:48:47 - WARNING - __main__ -   Process rank: -1, device: cuda, n_gpu: 2, distributed training: False, 16-bits training: False
12/29/2019 17:48:47 - INFO - transformers.configuration_utils -   loading configuration file https://s3.amazonaws.com/models.huggingface.co/bert/gpt2-medium-config.json from cache at /home/jupyter/.cache/torch/transformers/98aa65385e18b0efd17acd8bf64dcdf21406bb0c99c801c2d3c9f6bfd1f48f29.5f9150c569dadadaa1e66830d29254aa5cf43f8ccd76dc0c81e0102c67032367
12/29/2019 17:48:47 - INFO - transformers.configuration_utils -   Model config {
  "attn_pdrop": 0.1,
  "embd_pdrop": 0.1,
  "finetuning_task": null,
  "initializer_range": 0.02,
  "is_decoder": false,
  "layer_norm_epsilon": 1e-05,
  "n_ctx": 1024,
  "n_embd": 1024,
  "n_head": 16,
  "n_layer": 24,
  "n_positions": 1024,
  "n_special": 0,
  "num_labels": 1,
  "output_attentions": false,
  "output_hidden_states": false,
  "output_past": true,
  "predict_special_tokens": true,
  "pruned_heads": {},
  "resid_pdrop": 0.1,
  "summary_activation": null,
  "summary_first_dropout": 0.1,
  "summary_proj_to_labels": true,
  "summary_type": "cls_index",
  "summary_use_proj": true,
  "torchscript": false,
  "use_bfloat16": false,
  "vocab_size": 50257
}

12/29/2019 17:48:48 - INFO - transformers.tokenization_utils -   loading file https://s3.amazonaws.com/models.huggingface.co/bert/gpt2-medium-vocab.json from cache at /home/jupyter/.cache/torch/transformers/f20f05d3ae37c4e3cd56764d48e566ea5adeba153dcee6eb82a18822c9c731ec.1512018be4ba4e8726e41b9145129dc30651ea4fec86aa61f4b9f40bf94eac71
12/29/2019 17:48:48 - INFO - transformers.tokenization_utils -   loading file https://s3.amazonaws.com/models.huggingface.co/bert/gpt2-medium-merges.txt from cache at /home/jupyter/.cache/torch/transformers/6d882670c55563617571fe0c97df88626fb5033927b40fc18a8acf98dafd4946.70bec105b4158ed9a1747fea67a43f5dee97855c64d62b6ec3742f4cfdb5feda
12/29/2019 17:48:48 - INFO - transformers.modeling_utils -   loading weights file https://s3.amazonaws.com/models.huggingface.co/bert/gpt2-medium-pytorch_model.bin from cache at /home/jupyter/.cache/torch/transformers/4b337a4f3b7d3e1518f799e238af607498c02938a3390152aaec7d4dabca5a02.8769029be4f66a5ae1055eefdd1d11621b901d510654266b8681719fff492d6e
12/29/2019 17:49:02 - INFO - __main__ -   Training/evaluation parameters Namespace(adam_epsilon=1e-08, block_size=1024, cache_dir='', config_name='', device=device(type='cuda'), do_eval=False, do_lower_case=False, do_train=True, eval_all_checkpoints=False, eval_data_file=None, evaluate_during_training=False, fp16=False, fp16_opt_level='O1', gradient_accumulation_steps=1, learning_rate=5e-05, local_rank=-1, logging_steps=50, max_grad_norm=1.0, max_steps=-1, mlm=False, mlm_probability=0.15, model_name_or_path='gpt2-medium', model_type='gpt2', n_gpu=2, no_cuda=False, num_train_epochs=1.0, output_dir='output', overwrite_cache=False, overwrite_output_dir=False, per_gpu_eval_batch_size=4, per_gpu_train_batch_size=1, save_steps=50, save_total_limit=None, seed=42, server_ip='', server_port='', tokenizer_name='', train_data_file='all_gen_lines.txt', warmup_steps=0, weight_decay=0.0)
12/29/2019 17:49:02 - INFO - __main__ -   Loading features from cached file gpt2-medium_cached_lm_1024_all_gen_lines.txt.bin
12/29/2019 17:49:02 - INFO - __main__ -   ***** Running training *****
12/29/2019 17:49:02 - INFO - __main__ -     Num examples = 2061
12/29/2019 17:49:02 - INFO - __main__ -     Num Epochs = 1
12/29/2019 17:49:02 - INFO - __main__ -     Instantaneous batch size per GPU = 1
12/29/2019 17:49:02 - INFO - __main__ -     Total train batch size (w. parallel, distributed & accumulation) = 2
12/29/2019 17:49:02 - INFO - __main__ -     Gradient Accumulation steps = 1
12/29/2019 17:49:02 - INFO - __main__ -     Total optimization steps = 1031
Epoch:   0%|                                                                                | 0/1 [00:00<?, ?it/s/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/parallel/_functions.py:61: UserWarning: Was asked to gather along dimension 0, but all input tensors were scalars; will instead unsqueeze and return a vector.
  warnings.warn('Was asked to gather along dimension 0, but all '
                                                                                                                 Traceback (most recent call last):                                              | 1/1031 [00:05<1:30:32,  5.27s/it]
  File "run_lm_finetuning.py", line 717, in <module>
    main()
  File "run_lm_finetuning.py", line 667, in main
    global_step, tr_loss = train(args, train_dataset, model, tokenizer)
  File "run_lm_finetuning.py", line 298, in train
    outputs = model(inputs, masked_lm_labels=labels) if args.mlm else model(inputs, labels=labels)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/modules/module.py", line 541, in __call__
    result = self.forward(*input, **kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/parallel/data_parallel.py", line 152, in forward
    outputs = self.parallel_apply(replicas, inputs, kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/parallel/data_parallel.py", line 162, in parallel_apply
    return parallel_apply(replicas, inputs, kwargs, self.device_ids[:len(replicas)])
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/parallel/parallel_apply.py", line 85, in parallel_apply
    output.reraise()
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/_utils.py", line 385, in reraise
    raise self.exc_type(msg)
RuntimeError: Caught RuntimeError in replica 0 on device 0.
Original Traceback (most recent call last):
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/parallel/parallel_apply.py", line 60, in _worker
    output = module(*input, **kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/modules/module.py", line 541, in __call__
    result = self.forward(*input, **kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/transformers/modeling_gpt2.py", line 549, in forward
    inputs_embeds=inputs_embeds)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/modules/module.py", line 541, in __call__
    result = self.forward(*input, **kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/transformers/modeling_gpt2.py", line 460, in forward
    head_mask=head_mask[i])
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/modules/module.py", line 541, in __call__
    result = self.forward(*input, **kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/transformers/modeling_gpt2.py", line 236, in forward
    m = self.mlp(self.ln_2(x))
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/torch/nn/modules/module.py", line 541, in __call__
    result = self.forward(*input, **kwargs)
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/transformers/modeling_gpt2.py", line 214, in forward
    h = self.act(self.c_fc(x))
  File "/home/jupyter/miniconda3/lib/python3.7/site-packages/transformers/modeling_gpt2.py", line 100, in gelu
    return 0.5 * x * (1 + torch.tanh(math.sqrt(2 / math.pi) * (x + 0.044715 * torch.pow(x, 3))))
RuntimeError: CUDA out of memory. Tried to allocate 16.00 MiB (GPU 0; 11.17 GiB total capacity; 10.77 GiB already allocated; 14.06 MiB free; 66.92 MiB cached)

Epoch:   0%|                                                                                | 0/1 [00:05<?, ?it/s]
Iteration:   0%|                                                               | 1/1031 [00:05<1:41:31,  5.91s/it]
(base) jupyter@lynn-ukpavilion:~/code/transformers/examples$ nvidia-smi
Sun Dec 29 17:49:34 2019
+-----------------------------------------------------------------------------+
| NVIDIA-SMI 418.67       Driver Version: 418.67       CUDA Version: 10.1     |
|-------------------------------+----------------------+----------------------+
| GPU  Name        Persistence-M| Bus-Id        Disp.A | Volatile Uncorr. ECC |
| Fan  Temp  Perf  Pwr:Usage/Cap|         Memory-Usage | GPU-Util  Compute M. |
|===============================+======================+======================|
|   0  Tesla K80           Off  | 00000000:00:04.0 Off |                    0 |
| N/A   49C    P0    71W / 149W |      0MiB / 11441MiB |      0%      Default |
+-------------------------------+----------------------+----------------------+
|   1  Tesla K80           Off  | 00000000:00:05.0 Off |                    0 |
| N/A   67C    P0    88W / 149W |      0MiB / 11441MiB |     94%      Default |
+-------------------------------+----------------------+----------------------+

+-----------------------------------------------------------------------------+
| Processes:                                                       GPU Memory |
|  GPU       PID   Type   Process name                             Usage      |
|=============================================================================|
|  No running processes found                                                 |
+-----------------------------------------------------------------------------+
(base) jupyter@lynn-ukpavilion:~/code/transformers/examples$
(base) jupyter@lynn-ukpavilion:~/code/transformers/examples$ git status
On branch fix-gpt2-finetuning-memory
````<|||||>This issue has been automatically marked as stale because it has not had recent activity. It will be closed if no further activity occurs. Thank you for your contributions.
<|||||>@thomwolf  @LysandreJik : Curious about the status of this. It seems like the memory issues still exists with "run_lm_finetuning.py" and GPT-2. For instance, even a batch size of 1 doesn't help prevent OOM error when fine-tuning GPT-2 large with a sequence length of 1024 (despite using FP-16). Is there anything we could do here (apart from gradient checkpointing) that would make the memory usage lower as Thomas listed in his first comment above? Thanks.