MXNetError: GPU not enabled

I am getting the “MXNetError:: GPU not enabled” error on the “collect_params().initialize(ctx=ctx)” line with the following code:

... other stuff...
ctx = mx.gpu(0)
.... other stuff ....

Any idea how to fix it?
In case it matters, I am running on Windows after installing MXNet into conda distribution of python using the following commands.

pip install mxnet
pip install mxnet-cu80==1.0.0

I have installed CuDnn on my machine by downloading from NVidia site and the GPU on my machine supports Cuda.

Can we verify outside of MXNet that everything is configured correctly for the GPU. Can you run the command nvidia-smi from the command line. By default it gets installed at C:\Program Files\NVIDIA Corporation\NVSMI