Apex with multiple optimizers error "element 0 of tensors does not require grad and does not have grad_fn"
🐛 Bug
 File "repro apex.py", line 51, in <module>
    trainer.fit(model)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/trainer.py", line 481, in fit
    results = self.accelerator_backend.train()
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/accelerators/gpu_accelerator.py", line 67, in train
    results = self.train_or_test()
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/accelerators/accelerator.py", line 68, in train_or_test
    results = self.trainer.train()
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/trainer.py", line 532, in train
    self.train_loop.run_training_epoch()
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/training_loop.py", line 572, in run_training_epoch
    batch_output = self.run_training_batch(batch, batch_idx, dataloader_idx)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/training_loop.py", line 729, in run_training_batch
    self.optimizer_step(optimizer, opt_idx, batch_idx, train_step_and_backward_closure)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/training_loop.py", line 505, in optimizer_step
    model_ref.optimizer_step(
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/core/lightning.py", line 1263, in optimizer_step
    optimizer.step(closure=optimizer_closure)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/core/optimizer.py", line 278, in step
    self.__optimizer_step(*args, closure=closure, profiler_name=profiler_name, **kwargs)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/core/optimizer.py", line 133, in __optimizer_step
    trainer.precision_connector.backend.optimizer_step(trainer, optimizer, closure)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/plugins/apex.py", line 138, in optimizer_step
    closure()
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/training_loop.py", line 719, in train_step_and_backward_closure
    result = self.training_step_and_backward(
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/training_loop.py", line 827, in training_step_and_backward
    self.backward(result, optimizer, opt_idx)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/trainer/training_loop.py", line 847, in backward
    result.closure_loss = self.trainer.accelerator_backend.backward(
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/accelerators/accelerator.py", line 97, in backward
    closure_loss = self.trainer.precision_connector.backend.backward(
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/plugins/apex.py", line 53, in backward
    model.backward(closure_loss, optimizer, opt_idx)
  File "/home/aw18f408/repositories/pytorch-lightning/pytorch_lightning/core/lightning.py", line 1155, in backward
    loss.backward(*args, **kwargs)
  File "/home/aw18f408/.conda/envs/lightning/lib/python3.8/site-packages/torch/tensor.py", line 221, in backward
    torch.autograd.backward(self, gradient, retain_graph, create_graph)
  File "/home/aw18f408/.conda/envs/lightning/lib/python3.8/site-packages/torch/autograd/__init__.py", line 130, in backward
    Variable._execution_engine.run_backward(
RuntimeError: element 0 of tensors does not require grad and does not have a grad_fn

To Reproduce
import torch
from torch import optim
from torch.utils.data import Dataset, DataLoader

from pytorch_lightning import LightningModule, Trainer


class RandomDataset(Dataset):
    def __init__(self, size, length):
        self.len = length
        self.data = torch.randn(length, size)

    def __getitem__(self, index):
        return self.data[index]

    def __len__(self):
        return self.len


class AMPModel(LightningModule):

    def __init__(self):
        super().__init__()
        self.layer = torch.nn.Linear(32, 2)

    def forward(self, x):
        return self.layer(x)

    def training_step(self, batch, batch_idx, optimizer_idx):
        output = self(batch)
        loss = output.mean()
        return {"loss": loss}

    def train_dataloader(self):
        return DataLoader(RandomDataset(32, 64))

    def configure_optimizers(self):
        optimizer1 = torch.optim.Adam(self.parameters(), lr=0.01)
        optimizer2 = optim.SGD(self.parameters(), lr=0.01)
        return [optimizer1, optimizer2]


if __name__ == "__main__":
    model = AMPModel()
    trainer = Trainer(
        max_epochs=1,
        precision=16,
        amp_backend='apex',
        gpus=1,
    )
    trainer.fit(model)
Expected behavior
No crash
Environment

CUDA:
- GPU:
- GeForce RTX 2080 Ti
- GeForce RTX 2080 Ti
- available:         True
- version:           11.0
Packages:
- numpy:             1.19.5
- pyTorch_debug:     False
- pyTorch_version:   1.7.1
- pytorch-lightning: 1.2.0dev
- tqdm:              4.56.0
System:
- OS:                Linux
- architecture:
- 64bit
- ELF
- processor:         x86_64
- python:            3.8.3
- version:           #1 SMP Thu Apr 9 13:49:54 UTC 2020

Additional context
discovered in #5507, in the test tests/models/test_amp::test_amp_with_apex