It is mentioned in the install instruction that this is work in progress.
While at ICCV I quickly implemented a branch where I remplace matrix operations with Eigen3 calls, and random generators by Boost::random generators.
I hope this is not redundant with ongoing work on private branches.

The branch can be found at
https://github.com/rodrigob/caffe

I got things to compile, however I noticed that some tests fails (thanks for creating a non-trivial set of unit tests !).
I have not been able to compile a version with MKL to compare, but I can only assume that tests should not fail.

Current fails are

[ FAILED ] FlattenLayerTest/1.TestCPUGradient, where TypeParam = double
[ FAILED ] StochasticPoolingLayerTest/0.TestGradientGPU, where TypeParam = float
[ FAILED ] StochasticPoolingLayerTest/1.TestGradientGPU, where TypeParam = double
[ FAILED ] MultinomialLogisticLossLayerTest/1.TestGradientCPU, where TypeParam = double

which all sounds nasty (gradient computation errors in neural networks, big no no).

I will spend some time inspecting to see what goes wrong there, but any suggestion/comment/idea is welcome.