[ENHANCEMENT]: Add compute-sanitizer tests

[sleeepyjack]

Is your feature request related to a problem? Please describe.

#256 showed that we might want to include tests to check for memory leaks or similar problems.

Describe the solution you'd like

We should implement a test that runs compute-sanitizer --tool memcheck similar to how cudf solves this: https://github.com/rapidsai/cudf/blob/d6582a1ef2dea745d81a24ccfaf74f03aa211666/ci/gpu/build.sh#L250

Describe alternatives you've considered

No response

Additional context

No response