For now I have no good solution, except installing cuda and cudnn, following official guide https://docs.nvidia.com/deeplearning/sdk/cudnn-install/index.html: 243
$ sudo cp cuda/include/cudnn.h /usr/local/cuda/include
$ sudo cp cuda/lib64/libcudnn* /usr/local/cuda/lib64
$ sudo chmod a+r /usr/local/cuda/include/cudnn.h /usr/local/cuda/lib64/libcudnn*

or setting CUDNN_INCLUDE_DIR directly.
Maybe you can use one from anaconda environment, but I’m not sure.