Theano

A framework for fast computation on CPUs and GPUs

Theano has a lot of system library dependencies, which you can install in whatever way is normal on your system, such as for Ubuntu linux:

sudo apt-get install ...

or for Macports on OS X:

sudo port install ...

The following list may not be complete, and you might have some of them already installed:

g++
git
python-pip
libblas-dev
liblapack-dev
gfortran
python-bumpy
python-scipy
python-numpy
python-scipy
python-dev
python-nose
libopenblas-dev

Finally, Theano and one other python package can be installed as simply as any other Python library with

sudo pip install bandmat 
sudo pip install Theano

The above will be sufficient for doing this exercise, where we will run the code on the CPU. To make it faster, you can run on the GPU and that will need additional libraries installing (including CUDA), but this is beyond the scope of these instructions.