Investigate graphs load time cost and improve

[peizhou001]

🔨Work Item

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Project tracker: https://github.com/orgs/dmlc/projects/2

Description

DGL graphs load is quarter the speed of PYG againt different graphs, and the gap increase when repeated number of graphs increase, we should investigate why this happens and try to improve. DGL

Graph number	Size in disk(Mb)	Load time(Seconds)
100K	105	42
1000K	1047	422
5000K	5235	2067

PYG

Graph number	Size in disk(Mb)	Load time(Seconds)
100K	105	9.72
1000K	1057	95.53
5000K	5246	473.26

Depending work items or issues

[mufeili]

I remember it's more efficient to save/load a batched graph rather than a list of graphs, though I do not have detailed numbers here.

[frozenbugs]

@peizhou001 to clarify the problem, many graph, or single graph. Let's decide the plan later.