[FIX] ROC AUC for multi class classification

[ravinkohli]

Types of changes

• Breaking change (fix or feature that would cause existing functionality to not work as expected)
• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)

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Checklist:

• My code follows the code style of this project.
• My change requires a change to the documentation.
• I have updated the documentation accordingly.

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• Have you written new tests for your core changes, as applicable?
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Description

Motivation and Context

How has this been tested?