theano fails to compile cuda but the python code runs using GPU - compilation

Question

I am trying to run a theano simple code on Ubuntu 16.04 with Cuda 8.0 on NVIDIA 1060 GPU within a python virtual environment created by anaconda. The following is my theanorc file:
[global]
floatX = float32
device = cuda
The code I am trying to run is a short sample from theano website:
from theano import function, config, shared, tensor
import numpy
import time
vlen = 10 * 30 * 768 # 10 x #cores x # threads per core
iters = 1000
rng = numpy.random.RandomState(22)
x = shared(numpy.asarray(rng.rand(vlen), config.floatX))
f = function([], tensor.exp(x))
print(f.maker.fgraph.toposort())
t0 = time.time()
for i in range(iters):
r = f()
t1 = time.time()
print("Looping %d times took %f seconds" % (iters, t1 - t0))
print("Result is %s" % (r,))
if numpy.any([isinstance(x.op, tensor.Elemwise) and
('Gpu' not in type(x.op).__name__)
for x in f.maker.fgraph.toposort()]):
print('Used the cpu')
else:
print('Used the gpu')
And when I run the code I get a bunch of warnings and the following error:
ERROR (theano.sandbox.cuda): Failed to compile cuda_ndarray.cu: ('nvcc return status', 1, 'for cmd', 'nvcc -shared -O3 -m64 -Xcompiler -DCUDA_NDARRAY_CUH=c72d035fdf91890f3b36710688069b2e,-DNPY_NO_DEPRECATED_API=NPY_1_7_API_VERSION,-fPIC,-fvisibility=hidden -Xlinker -rpath,/home/eb/.theano/compiledir_Linux-4.8--generic-x86_64-with-debian-stretch-sid-x86_64-2.7.13-64/cuda_ndarray -I/home/eb/anaconda2/envs/deep/lib/python2.7/site-packages/theano/sandbox/cuda -I/home/eb/anaconda2/envs/deep/lib/python2.7/site-packages/numpy/core/include -I/home/eb/anaconda2/envs/deep/include/python2.7 -I/home/eb/anaconda2/envs/deep/lib/python2.7/site-packages/theano/gof -L/home/eb/anaconda2/envs/deep/lib -o /home/eb/.theano/compiledir_Linux-4.8--generic-x86_64-with-debian-stretch-sid-x86_64-2.7.13-64/cuda_ndarray/cuda_ndarray.so mod.cu -lcublas -lpython2.7 -lcudart')
Can not use cuDNN on context None: cannot compile with cuDNN. We got this error:
/tmp/try_flags_M8OZOh.c:4:19: fatal error: cudnn.h: No such file or directory
compilation terminated.
Mapped name None to device cuda: GeForce GTX 1060 6GB (0000:01:00.0)
Surprisingly, the code RUNS and print the desired output as follows:
[GpuElemwise{exp,no_inplace}(<GpuArrayType<None>(float32, (False,))>), HostFromGpu(gpuarray)(GpuElemwise{exp,no_inplace}.0)]
Looping 1000 times took 0.365814 seconds
Result is [ 1.23178029 1.61879349 1.52278066 ..., 2.20771813 2.29967761
1.62323296]
Used the gpu
I was wondering if I am missing a Theano config or something? Any idea on what's going wrong?
p.s. All libraries have been installed in my python virtual env except for Cuda library which is installed on system level.
--Thanks