Download all MNIST files to directory unless they are there.

def _get_mnist(directory):
  """Download all MNIST files to directory unless they are there."""
  for filename in [
      _MNIST_TRAIN_DATA_FILENAME, _MNIST_TRAIN_LABELS_FILENAME,
      _MNIST_TEST_DATA_FILENAME, _MNIST_TEST_LABELS_FILENAME
  ]:
    generator_utils.maybe_download(directory, filename, _MNIST_URL + filename)