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thin stack, GPU memory accumulates #8

Description

@lajanugen

I am using the code with a modified objective function and I am observing a memory issue when using the thin stack version.

I am using the modified version of Theano. The GPU memory consumption starts off low and gradually increases till it eventually hits the limit and the code crashes.

I am only observing this issue with the thin stack version. The fat stack version runs fine.

Any help/hints where to look at would be helpful.

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