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I've got an AMD "Bonaire" GPU. It's taken a bit of research but I have
caffe running on the AMD GPU on my Arch Linux system. I'm sure it can be done on Ubuntu 16.04 LTS; AMD actually supports that. If you want to play with it, the source is https://github.com/BVLC/caffe/tree/opencl
You will need the proprietary AMD version of OpenCL; the open source ones don't work. There's also a set of instructions for Fedora if you want to go that way.
I'm slowly but surely getting the whole AMD toolchain working on my Arch workstation. Included are some utilities for porting CUDA code to an AMD GPU, and support for newer AMD GPUs including the fire-breathing monsters they're releasing. I saw one go by that was claiming 25 TeraFLOPS, which ain't chopped liver. ;-) They also have a fairly primitive machine learning library, but there's little documentation except for the API.