In order to use HOG Descriptor you have to build Opencv with enabled CUDA support. To do that simply configure CMake with WITH_CUDA=ON.
Mind that OpenCV GPU module is implemented using NVIDIA CUDA Runtime API and supports only NVIDIA GPUs. You can determine (at runtime!) whether your OpenCV GPU-built binaries are compatible with your GPU by using the function gpu::DeviceInfo::isCompatible().
Here you can find the documentation for the class gpu::HOGDescriptor: