There is a problem when installing CUDA 9.2 with VS integration. I had to deselect VS integration to finish CUDA installation. It turns out that NAVIDIA NSight is looking for ‘devenv.com’ from different path. So, it is a problem when installing Microsoft Visual Studio community 2017 edition. Reinstalling does not work. After applying the workaround [1], NVTX can be installed successfully.
However, when attempting to install from source again, it complains:
c:\program files\nvidia gpu computing toolkit\cuda\v9.2\include\crt/host_config.h(133): fatal error C1189: #error:  -- unsupported Microsoft Visual Studio version! Only the versions 2012, 2013, 2015 and 2017 are supported! [C:\oak-project\python\pytorch\build\caffe2\caffe2_gpu.vcxproj]

I only have VS 2017 installed and set ‘-vcvars_ver=14.15’ (by checking  the actual directory in C:\Program Files (x86)\Microsoft Visual Studio\2017\Community\VC\Tools\MSVC)
[1] https://devtalk.nvidia.com/default/topic/1016018/nsight-visual-studio-edition/nsight-installation-problem-windows-10-setup-wizard-ended-prematurely-because-of-an-error/ 10