Fix lack of state init for adagrad and add share_memory flag (#17679)
Summary:
The current code initialize the `state` in `__init__` method, but the initialization process is not invoked in `add_parameter_group`.
I followed the same approach in other Optimizers to init the `state`.
```python
import torch
emb = torch.nn.Embedding(10,10)
emb2 = torch.nn.Embedding(10,10)
optim = torch.optim.Adagrad(emb.parameters())
print(optim.state[emb.weight]) # already initialized
optim.add_param_group({'params': emb2.parameters()})
print(optim.state[emb2.weight]) # empty dict
loss = emb2.weight.sum() + emb.weight.sum()
loss.backward()
optim.step() # raised KeyError
```
Pull Request resolved: https://github.com/pytorch/pytorch/pull/17679
Differential Revision: D14577575
Pulled By: ezyang
fbshipit-source-id: 12440079ac964b9eedad48e393d47f558babe300
