* unify calling cudaSetDevice

* fix compile

TemporaryAllocator is a singleton used for allocating memory for Cudnn. Since it is a singleton, we can delete it for better performance in memory.

We replace TemporaryAllocator by CUDADeviceContextAllocator and CUDADeviceContextAllocation, which uses stream callback to delete the memory allocated for the stream to avoid singleton.

Also added data_feed_proto to operator to fix CI in CPU compilation