Modify INCLUDE_DIRS
in Makefile.config
INCLUDE_DIRS := $(PYTHON_INCLUDE) /usr/local/include /usr/include/hdf5/serial/
And finally, make some simlinks to HD5
cd /usr/lib/x86_64-linux-gnu
sudo ln -s libhdf5_serial.so.8.0.2 libhdf5.so
sudo ln -s libhdf5_serial_hl.so.8.0.2 libhdf5_hl.so
http://stackoverflow.com/questions/30500977/fails-to-build-caffe-on-ubuntu-15-04