Fix the cudnn context problem.

theano/sandbox/gpuarray/dnn_base.c

@@ -102,11 +102,16 @@ setup_ext_cuda();
 
 #section support_code_struct
 
+PyGpuContextObject *ctx;
 cudnnHandle_t APPLY_SPECIFIC(_handle);
 
 #section init_code_struct
 
 {
+  // We need to keep a reference here to have it available in the destructor.
+  ctx = PARAMS;
+  Py_INCREF(ctx);
+
   cuda_enter(PARAMS->ctx);
   cudnnStatus_t err;
   APPLY_SPECIFIC(_handle) = NULL;
@@ -128,4 +133,7 @@ cudnnHandle_t APPLY_SPECIFIC(_handle);
 
 #section cleanup_code_struct
 
+cuda_enter(ctx->ctx);
 cudnnDestroy(APPLY_SPECIFIC(_handle));
+cuda_exit(ctx->ctx);
+Py_DECREF((PyObject *)ctx);