This is an old question, but since I spent the last few weeks trying to figure it out on my own:
- OpenCL support for Theano is hit and miss. They added a libgpuarray back-end which appears to still be buggy (i.e., the process runs on the GPU but the answer is wrong--like 8% accuracy on MNIST for a DL model that gets ~95+% accuracy on CPU or nVidia CUDA). Also because ~50-80% of the performance boost on the nVidia stack comes from the CUDNN libraries now, OpenCL will just be left in the dust. (SEE BELOW!) :)
- ROCM appears to be very cool, but the documentation (and even a clear declaration of what ROCM is/what it does) is hard to understand. They're doing their best, but they're 4+ years behind. It does NOT NOT NOT work on an RX550 (as of this writing). So don't waste your time (this is where 1 of the weeks went :) ). At first, it appears ROCM is a new addition to the driver set (replacing AMDGPU-Pro, or augmenting it), but it is in fact a kernel module and set of libraries that essentially replace AMDGPU-Pro. (Think of this as the equivalent of Nvidia-381 driver + CUDA some libraries kind of). https://rocm.github.io/dl.html (Honestly I still haven't tested the performance or tried to get it to work with more recent Mesa drivers yet. I will do that sometime.
- Add MiOpen to ROCM, and that is essentially CUDNN. They also have some pretty clear guides for migrating. But better yet.
- They created "HIP" which is an automagical translator from CUDA/CUDNN to MiOpen. It seems to work pretty well since they lined the API's up directly to be translatable. There are concepts that aren't perfect maps, but in general it looks good.
Now, finally, after 3-4 weeks of trying to figure out OpenCL, etc, I found this tutorial to help you get started quickly. It is a step-by-step for getting hipCaffe up and running. Unlike nVidia though,
please ensure you have supported hardware!!!! https://rocm.github.io/hardware.html. Think you can get it working without their supported hardware? Good luck. You've been warned. Once you have ROCM up and running (AND RUN THE VERIFICATION TESTS), here is the hipCaffe tutorial--if you got ROCM up you'll be doing an MNIST validation test within 10 minutes--sweet!
https://rocm.github.io/ROCmHipCaffeQuickstart.html