Hey I'm trying to set up Theano to use my GPU and am getting all sorts of 
errors. I am sort of a newbie to python and Theano so some patience would be 
appreciated. I am following the directions on 
http://deeplearning.net/software/theano/install_windows.html#install-windows 
but am really struggling right now. Here is the error message that I am getting 
when I try to import Theano:

c:\anaconda2\include\pyconfig.h(239) : fatal error C1083: Cannot open include 
file: 'basetsd.h': No such file or directory

['nvcc', '-shared', '-O3', '--use-local-env', '--cl-version=2008', '-Xlinker', 
'/DEBUG', '-D HAVE_ROUND', '-m64', '-Xcompiler', 
'-DCUDA_NDARRAY_CUH=c72d035fdf91890f3b36710688069b2e,-DNPY_NO_DEPRECATED_API=NPY_1_7_API_VERSION,/Zi,/MD',
 '-IC:\\Anaconda2\\lib\\site-packages\\theano\\sandbox\\cuda', 
'-IC:\\Anaconda2\\lib\\site-packages\\numpy\\core\\include', 
'-IC:\\Anaconda2\\include', '-IC:\\Anaconda2\\lib\\site-packages\\theano\\gof', 
'-o', 
'C:\\Users\\Austin\\AppData\\Local\\Theano\\compiledir_Windows-10-10.0.10586-Intel64_Family_6_Model_61_Stepping_4_GenuineIntel-2.7.12-64\\cuda_ndarray\\cuda_ndarray.pyd',
 'mod.cu', '-LC:\\Anaconda2\\libs', '-LC:\\Anaconda2', '-lcublas', 
'-lpython27', '-lcudart']
ERROR (theano.sandbox.cuda): Failed to compile cuda_ndarray.cu: ('nvcc return 
status', 2, 'for cmd', 'nvcc -shared -O3 --use-local-env --cl-version=2008 
-Xlinker /DEBUG -D HAVE_ROUND -m64 -Xcompiler 
-DCUDA_NDARRAY_CUH=c72d035fdf91890f3b36710688069b2e,-DNPY_NO_DEPRECATED_API=NPY_1_7_API_VERSION,/Zi,/MD
 -IC:\\Anaconda2\\lib\\site-packages\\theano\\sandbox\\cuda 
-IC:\\Anaconda2\\lib\\site-packages\\numpy\\core\\include 
-IC:\\Anaconda2\\include -IC:\\Anaconda2\\lib\\site-packages\\theano\\gof -o 
C:\\Users\\Austin\\AppData\\Local\\Theano\\compiledir_Windows-10-10.0.10586-Intel64_Family_6_Model_61_Stepping_4_GenuineIntel-2.7.12-64\\cuda_ndarray\\cuda_ndarray.pyd
 mod.cu -LC:\\Anaconda2\\libs -LC:\\Anaconda2 -lcublas -lpython27 -lcudart')
WARNING (theano.sandbox.cuda): CUDA is installed, but device gpu is not 
available  (error: cuda unavailable)

I looked around and found a few instances of basetsd.h on my computer and 
copied one into the include folder but it only gave me another error about 
missing a different header file. I think I have some sort of linking issue 
between python and mingw or my compiler from VS2010 but I don't know how to 
solve it. I would really appreciate any help that I can get.

Thanks

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