Assuming you have already installed CUDA and cudnn as well as anaconda

Install OpenCV

sudo apt-get update
sudo apt-get install -y build-essential
sudo apt-get install -y cmake
sudo apt-get install -y libgtk2.0-dev
sudo apt-get install -y pkg-config
sudo apt-get install -y python-numpy python-dev
sudo apt-get install -y libavcodec-dev libavformat-dev libswscale-dev
sudo apt-get install -y libjpeg-dev libpng-dev libtiff-dev libjasper-dev

sudo apt-get -qq install libopencv-dev build-essential checkinstall cmake pkg-config yasm libjpeg-dev libjasper-dev libavcodec-dev libavformat-dev libswscale-dev libdc1394-22-dev libxine-dev libgstreamer0.10-dev libgstreamer-plugins-base0.10-dev libv4l-dev python-dev python-numpy libtbb-dev libqt4-dev libgtk2.0-dev libmp3lame-dev libopencore-amrnb-dev libopencore-amrwb-dev libtheora-dev libvorbis-dev libxvidcore-dev x264 v4l-utils

wget http://downloads.sourceforge.net/project/opencvlibrary/opencv-unix/2.4.11/opencv-2.4.11.zip
unzip opencv-2.4.11.zip
cd opencv-2.4.11
mkdir release
cd release

cmake -G "Unix Makefiles" -D CMAKE_CXX_COMPILER=/usr/bin/g++ CMAKE_C_COMPILER=/usr/bin/gcc -D CMAKE_BUILD_TYPE=RELEASE -D CMAKE_INSTALL_PREFIX=/usr/local -D WITH_TBB=ON -D BUILD_NEW_PYTHON_SUPPORT=ON -D WITH_V4L=ON -D INSTALL_C_EXAMPLES=ON -D INSTALL_PYTHON_EXAMPLES=ON -D BUILD_EXAMPLES=ON -D WITH_QT=ON -D WITH_OPENGL=ON -D BUILD_FAT_JAVA_LIB=ON -D INSTALL_TO_MANGLED_PATHS=ON -D INSTALL_CREATE_DISTRIB=ON -D INSTALL_TESTS=ON -D ENABLE_FAST_MATH=ON -D WITH_IMAGEIO=ON -D BUILD_SHARED_LIBS=OFF -D WITH_GSTREAMER=ON -D CUDA_GENERATOR=Kepler ..
make all -j8
sudo make install

After installation,run

sudo gedit /etc/ld.so.conf.d/opencv.conf

and add

/usr/local/lib

in the file and afterwards run

sudo ldconfig
sudo gedit /etc/bash.bashrc

and add

PKG_CONFIG_PATH=$PKG_CONFIG_PATH:/usr/local/lib/pkgconfig
export PKG_CONFIG_PATH

Install ffmpeg(Optional)

sudo add-apt-repository ppa:mc3man/trusty-media
sudo apt-get update
sudo apt-get dist-upgrade
sudo apt-get install ffmpeg

Install Caffe

Modify Makefile.config

## Refer to http://caffe.berkeleyvision.org/installation.html
# Contributions simplifying and improving our build system are welcome!

# cuDNN acceleration switch (uncomment to build with cuDNN).
USE_CUDNN := 1

# cpu-only switch (uncomment to build without GPU support).
# cpu_ONLY := 1

# uncomment to disable IO dependencies and corresponding data layers
# USE_OPENCV := 0
# USE_LEVELDB := 0
# USE_LMDB := 0

# uncomment to allow MDB_NOLOCK when reading LMDB files (only if necessary)
# You should not set this flag if you will be reading LMDBs with any
# possibility of simultaneous read and write
# ALLOW_LMDB_NOLOCK := 1

# Uncomment if you're using OpenCV 3
# OPENCV_VERSION := 3

# To customize your choice of compiler,uncomment and set the following.
# N.B. the default for Linux is g++ and the default for OSX is clang++
# CUSTOM_CXX := g++

# CUDA directory contains bin/ and lib/ directories that we need.
CUDA_DIR := /usr/local/cuda
# On Ubuntu 14.04,if cuda tools are installed via
# "sudo apt-get install nvidia-cuda-toolkit" then use this instead:
# CUDA_DIR := /usr

# CUDA architecture setting: going with all of them.
# For CUDA < 6.0,comment the *_50 through *_61 lines for compatibility.
# For CUDA < 8.0,comment the *_60 and *_61 lines for compatibility.
CUDA_ARCH := -gencode arch=compute_20,code=sm_20 \
        -gencode arch=compute_20,code=sm_21 \
        -gencode arch=compute_30,code=sm_30 \
        -gencode arch=compute_35,code=sm_35 \
        -gencode arch=compute_50,code=sm_50 \
        -gencode arch=compute_52,code=sm_52 \
        -gencode arch=compute_60,code=sm_60 \
        -gencode arch=compute_61,code=sm_61 \
        -gencode arch=compute_61,code=compute_61

# BLAS choice:
# atlas for ATLAS (default)
# mkl for MKL
# open for OpenBlas
BLAS := atlas
# Custom (MKL/ATLAS/OpenBLAS) include and lib directories.
# Leave commented to accept the defaults for your choice of BLAS
# (which should work)!
# BLAS_INCLUDE := /path/to/your/blas
# BLAS_LIB := /path/to/your/blas

# Homebrew puts openblas in a directory that is not on the standard search path
# BLAS_INCLUDE := $(shell brew --prefix openblas)/include
# BLAS_LIB := $(shell brew --prefix openblas)/lib

# This is required only if you will compile the matlab interface.
# MATLAB directory should contain the mex binary in /bin.
# MATLAB_DIR := /usr/local
# MATLAB_DIR := /Applications/MATLAB_R2012b.app

# NOTE: this is required only if you will compile the python interface.
# We need to be able to find Python.h and numpy/arrayobject.h.
# PYTHON_INCLUDE := /usr/include/python2.7 \
# /usr/lib/python2.7/dist-packages/numpy/core/include
# Anaconda Python distribution is quite popular. Include path:
# Verify anaconda location,sometimes it's in root.
ANACONDA_HOME := $(HOME)/anaconda
PYTHON_INCLUDE := $(ANACONDA_HOME)/include \
        $(ANACONDA_HOME)/include/python2.7 \
        $(ANACONDA_HOME)/lib/python2.7/site-packages/numpy/core/include

# Uncomment to use Python 3 (default is Python 2)
# PYTHON_LIBRARIES := boost_python3 python3.5m
# PYTHON_INCLUDE := /usr/include/python3.5m \
# /usr/lib/python3.5/dist-packages/numpy/core/include

# We need to be able to find libpythonX.X.so or .dylib.
# PYTHON_LIB := /usr/lib
PYTHON_LIB := $(ANACONDA_HOME)/lib

# Homebrew installs numpy in a non standard path (keg only)
# PYTHON_INCLUDE += $(dir $(shell python -c 'import numpy.core; print(numpy.core.__file__)'))/include
# PYTHON_LIB += $(shell brew --prefix numpy)/lib

# Uncomment to support layers written in Python (will link against Python libs)
# WITH_PYTHON_LAYER := 1

# Whatever else you find you need goes here.
INCLUDE_DIRS := $(PYTHON_INCLUDE) /usr/local/include
LIBRARY_DIRS := $(PYTHON_LIB) /usr/local/lib /usr/lib

# If Homebrew is installed at a non standard location (for example your home directory) and you use it for general dependencies
# INCLUDE_DIRS += $(shell brew --prefix)/include
# LIBRARY_DIRS += $(shell brew --prefix)/lib

# NCCL acceleration switch (uncomment to build with NCCL)
# https://github.com/NVIDIA/nccl (last tested version: v1.2.3-1+cuda8.0)
# USE_NCCL := 1

# Uncomment to use `pkg-config` to specify OpenCV library paths.
# (Usually not necessary -- OpenCV libraries are normally installed in one of the above $LIBRARY_DIRS.)
USE_PKG_CONFIG := 1

# N.B. both build and distribute dirs are cleared on `make clean`
BUILD_DIR := build
DISTRIBUTE_DIR := distribute

# Uncomment for debugging. Does not work on OSX due to https://github.com/BVLC/caffe/issues/171
# DEBUG := 1

# The ID of the GPU that 'make runtest' will use to run unit tests.
TEST_GPUID := 0

# enable pretty build (comment to see full commands)
Q ?= @

and then run

make all -j8
make test -j8
make runtest
make pycaffe