Fix memory leak (#2409)

* Fix memory leak

* Add comments

src/ngraph/runtime/cpu/mkldnn_emitter.cpp

@@ -36,6 +36,10 @@ MKLDNNEmitter::~MKLDNNEmitter()
 {
     for (auto p : m_mkldnn_primitives)
         delete p;
+    //To avoid memory leak in mkldnn, release any buffers that are not free'd yet.
+    //https://software.intel.com/en-us/mkl-linux-developer-guide-avoiding-memory-leaks-in-intel-mkl
+    //mkl_free_buffers() is not exposed at this point, hence using mkl_serv_free_buffers()
+    mkldnn_utils::mkl_serv_free_buffers();
 }
 
 const std::vector<mkldnn::primitive*>& MKLDNNEmitter::get_mkldnn_primitives() const

src/ngraph/runtime/cpu/mkldnn_utils.hpp

@@ -34,6 +34,7 @@ namespace ngraph
             namespace mkldnn_utils
             {
                 extern mkldnn::engine global_cpu_engine;
+                extern "C" void mkl_serv_free_buffers();
 
                 mkldnn::memory::format
                     CreateNativeDataFormat(const ngraph::runtime::cpu::LayoutDescriptor& layout);