Add deprecation message for sandbox.blocksparse

theano/sandbox/blocksparse.py

+from __future__ import print_function
+import sys
+from theano.tensor.nnet.blocksparse import *
+
+print("DEPRECATION: theano.sandbox.blocksparse does not exist anymore,"
+      "it has been moved to theano.tensor.nnet.blocksparse.", file=sys.stderr)

theano/tests/test_flake8.py

@@ -104,6 +104,7 @@ whitelist_flake8 = [
     "sandbox/theano_object.py",
     "sandbox/scan.py",
     "sandbox/symbolic_module.py",
+    "sandbox/blocksparse.py",
     "sandbox/conv.py",
     "sandbox/debug.py",
     "sandbox/tests/test_theano_object.py",