Update
The mac support has been brought back in version 11.1.1. And according to my test on MNIST example in the documentation, the GPU training is now 3X faster than version 11.0.
Per info in the thread below, OSX support has been deprecated in 11.1, but will be brought back soon.
NetTrain TargetDevice GPU error
The relevant quotes by Sebastian Bodenstein:
After Apple failed to provide any new Macs with NVIDIA GPU's in its latest update round, we made the decision that it would not be worth the development time for us to continue supporting GPU training for the few older Mac models that have NVIDIA GPU's (I have one myself), when none of the last 3 generations of Mac have any NVIDIA GPU's. So we have unfortunately deprecated GPU support for neural networks on OSX.
we have decided to resume GPU support for OSX. We are working on a paclet update that we are hoping to release soon. Apologies again for the inconvenience caused!