I have followed the instructions from this:
https://gist.github.com/jarutis/ff28bca8cfb9ce0c8b1a
But then when I tried : THEANO_FLAGS=device=opencl0:0 python
I fixed this issue with the step-by-step installation given in the lipgpuarray website!
Download
git clone https://github.com/Theano/libgpuarray.git
cd libgpuarray
Install libgpuarray
# extract or clone the source to
cd
mkdir Build
cd Build
# you can pass -DCMAKE_INSTALL_PREFIX=/path/to/somewhere to install to an alternate location
cmake .. -DCMAKE_BUILD_TYPE=Release # or Debug if you are investigating a crash
make
make install
cd ..
Install pygpu
# This must be done after libgpuarray is installed as per instructions above.
python setup.py build
python setup.py install
Source: http://deeplearning.net/software/libgpuarray/installation.html
This worked for me! Good Luck