I experienced the following issue on Sagemaker, when I have worked with gluonts. GluonTS installs its own version of MXNet, which is not using GPU. These 2 installed version of MXNet kinda coexist - Thomas’s code should display both of them, but when you import mxnet the non-GPU one is loaded.
gluon-ts has removed mxnet from it’s list of dependencies so it no longer installs the cpu version of mxnet and assumes you already have mxnet installed and will used whatever version.