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As of now Matlabs release R2013b does not support AMD devices. This means its parallel computing toolbox and parallel functions that have native support run only on NVidia GPUs.
There may be a round-about way to use OpenCL code within Matlab. Since Matlab provides an external interface in the form of MEX functions to call C functions within it, this interface may be used to write OpenCL code and call it from Matlab (Though at this stage I am not sure if this is possible).
I am familiar with Matlab MEX function as I am using SVM which is in C code and need MEX function to link it to Matlab. However, those are CPU programming and not GPU programming.
1. I know the Arrary Fire can create arrayfire.h library if it can incorporate in C code and use MEX function to run on MATLAB. But so far I have no luck.
2. Even I can do that, there are lots of change in the programming code to use GPU calculation function.
3. What about THEANO - can it help.
The idea is to try C-OpenCL code inside a MEX function instead of pure C, but this needs to be experimented out.