Update build scripts to always run tests for all MXNet engine types

This patch updates `Build.mak` to ensure that unittests and integration
tests will always be run for all of the supported engine types.  As well
as making it easier to run tests for all engines locally, this will make
it possible to greatly simplify our CI setup.

Build.mak

@@ -12,12 +12,25 @@ endif
 download-mnist: $C/script/download-mnist
 	$(call exec,sh $(if $V,,-x) $^,$(MNIST_DATA_DIR),$^)
 
+# helper function to run tests
+run_test = $(call exec,MXNET_ENGINE_TYPE=$2 $1,$1,$2)
+
 # extra build dependencies for integration tests
 $O/test-mxnet: override LDFLAGS += -lz
 $O/test-mxnet: override DFLAGS += -debug=MXNetHandleManualFree
 
 # extra runtime dependencies for integration tests
 $O/test-mxnet.stamp: override ITFLAGS += $(MNIST_DATA_DIR)
-$O/test-mxnet.stamp: download-mnist
+$O/test-mxnet.stamp: $O/test-mxnet download-mnist
+	$(call run_test,$<,NaiveEngine)
+	$(call run_test,$<,ThreadedEngine)
+	$(call run_test,$<,ThreadedEnginePerDevice)
+	$Vtouch $@
 
 $O/%unittests: override LDFLAGS += -lz
+
+$O/allunittests.stamp: $O/allunittests
+	$(call run_test,$<,NaiveEngine)
+	$(call run_test,$<,ThreadedEngine)
+	$(call run_test,$<,ThreadedEnginePerDevice)
+	$Vtouch $@