Support custom scheduler in deepspeed training
Author: VeryLazyBoy
Pull request: yes

# What does this PR do?

PR https://github.com/huggingface/transformers/pull/25863 adds support for using HF built-in scheduler with deepspeed optimizer. This PR goes a step further by enabling users to use custom schedulers with deepspeed optimizer. It achieves this by utilizing the `trainer.create_scheduler` function in the deepspeed setup, allowing users to override it and create their own custom scheduler

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## Before submitting
- [ ] This PR fixes a typo or improves the docs (you can dismiss the other checks if that's the case).
- [x] Did you read the [contributor guideline](https://github.com/huggingface/transformers/blob/main/CONTRIBUTING.md#start-contributing-pull-requests),
      Pull Request section?
- [ ] Was this discussed/approved via a Github issue or the [forum](https://discuss.huggingface.co/)? Please add a link
      to it if that's the case.
- [ ] Did you make sure to update the documentation with your changes? Here are the
      [documentation guidelines](https://github.com/huggingface/transformers/tree/main/docs), and
      [here are tips on formatting docstrings](https://github.com/huggingface/transformers/tree/main/docs#writing-source-documentation).
- [ ] Did you write any new necessary tests?


## Who can review?

@muellerzr and @pacman100

Anyone in the community is free to review the PR once the tests have passed. Feel free to tag
members/contributors who may be interested in your PR.

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Models:

- text models: @ArthurZucker and @younesbelkada
- vision models: @amyeroberts
- speech models: @sanchit-gandhi
- graph models: @clefourrier

Library:

- flax: @sanchit-gandhi
- generate: @gante
- pipelines: @Narsil
- tensorflow: @gante and @Rocketknight1
- tokenizers: @ArthurZucker
- trainer: @muellerzr and @pacman100

Integrations:

- deepspeed: HF Trainer/Accelerate: @pacman100
- ray/raytune: @richardliaw, @amogkam
- Big Model Inference: @SunMarc
- quantization (bitsandbytes, autogpt): @SunMarc and @younesbelkada

Documentation: @stevhliu and @MKhalusova

HF projects:

- accelerate: [different repo](https://github.com/huggingface/accelerate)
- datasets: [different repo](https://github.com/huggingface/datasets)
- diffusers: [different repo](https://github.com/huggingface/diffusers)
- rust tokenizers: [different repo](https://github.com/huggingface/tokenizers)

Maintained examples (not research project or legacy):

- Flax: @sanchit-gandhi
- PyTorch: See Models above and tag the person corresponding to the modality of the example.
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Comments:
The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/transformers/pr_26831). All of your documentation changes will be reflected on that endpoint.

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Please note that issues that do not follow the [contributing guidelines](https://github.com/huggingface/transformers/blob/main/CONTRIBUTING.md) are likely to be ignored.

cc @pacman100 

This issue has been automatically marked as stale because it has not had recent activity. If you think this still needs to be addressed please comment on this thread.

Please note that issues that do not follow the [contributing guidelines](https://github.com/huggingface/transformers/blob/main/CONTRIBUTING.md) are likely to be ignored.

cc @pacman100 

This issue has been automatically marked as stale because it has not had recent activity. If you think this still needs to be addressed please comment on this thread.

Please note that issues that do not follow the [contributing guidelines](https://github.com/huggingface/transformers/blob/main/CONTRIBUTING.md) are likely to be ignored.

gently pinging @pacman100 

Could you just rebase on main to make sure the latest changes (to the CIs) are incorporated! 

Thank you all for the reivew! Hi @ArthurZucker , I have rebased my code on the lasted main branch.

This issue has been automatically marked as stale because it has not had recent activity. If you think this still needs to be addressed please comment on this thread.

Please note that issues that do not follow the [contributing guidelines](https://github.com/huggingface/transformers/blob/main/CONTRIBUTING.md) are likely to be ignored.

Hey @VeryLazyBoy sorry I think we forgot to merge it 😢 Thanks for this!