Use the new pycuda feature to attach to an existing context.

doc/library/config.txt

@@ -151,11 +151,13 @@ import theano and print the config variable, as in:
 
     Default: ``False``
 
-    If True, always initialize PyCUDA when Theano want to initilize
-    the GPU.  Currently, we must always initialize PyCUDA before
-    Theano do it.  Setting this flag to True, ensure that, but always
-    import PyCUDA.  It can be done manually by importing
-    theano.misc.pycuda_init before theano initialize the GPU device.
+    If True, always initialize PyCUDA when Theano want to initialize
+    the GPU.  With PyCUDA version 2011.2.2 or earlier, PyCUDA must
+    initialize the GPU before Theano does it.  Setting
+    this flag to True, ensure that, but always import PyCUDA.  It can
+    be done manually by importing theano.misc.pycuda_init before
+    Theano initialize the GPU device.  Newer version of PyCUDA
+    (currently only in the trunk) don't have this restriction.
 
 .. attribute:: floatX
 

theano/misc/pycuda_init.py

@@ -44,9 +44,16 @@ if (not hasattr(theano.sandbox, 'cuda') or
                 pass
             pycuda_available = True
 else:
-    # Now we always import this file when we call theano.sandbox.cuda.use
-    # So this should not happen normally.
-    warnings.warn("For some unknow reason, theano.misc.pycuda_init was not"
-                  " imported before Theano initialized the GPU. To fix the"
-                  " problem, import theano.misc.pycuda_init manually before"
-                  " using the GPU.")
+    import pycuda.driver
+    if hasattr(pycuda.driver.Context, "attach"):
+        pycuda.driver.Context.attach()
+    else:
+        # Now we always import this file when we call theano.sandbox.cuda.use
+        # So this should not happen normally.
+        # TODO: make this an error.
+        warnings.warn("For some unknow reason, theano.misc.pycuda_init was not"
+                      " imported before Theano initialized the GPU and"
+                      " your PyCUDA version is 2011.2.2 or earlier."
+                      " To fix the problem, import theano.misc.pycuda_init"
+                      " manually before using/initializing the GPU or use a"
+                      " more recent version of PyCUDA.")