Fix RuntimeError when using ZeRO Stage3 with mpu: #3564 (#3565)

Co-authored-by: Olatunji Ruwase <olruwase@microsoft.com>

deepspeed/runtime/zero/stage3.py

@@ -1499,7 +1499,12 @@ def get_grad_norm_direct(self, gradients, params, norm_type=2):
                     grad_norms.append(g.to(get_accelerator().device_name(), non_blocking=True).double().norm(2))
 
             # Sum across all model parallel GPUs.
-            total_norm_cuda = torch.sum(torch.pow(torch.stack(grad_norms), 2))
+            if len(grad_norms) == 0:
+                # FIX https://github.com/microsoft/DeepSpeed/issues/3564
+                total_norm_cuda = torch.tensor(0,
+                                               dtype=gradients[0].dtype).to(get_accelerator().device_name()).double()
+            else:
+                total_norm_cuda = torch.sum(torch.pow(torch.stack(grad_norms), 2))
 
             dist.all_reduce(total_norm_cuda, op=dist.ReduceOp.SUM, group=self.dp_process_group)