How to do it...

1. First, we install CNTK with pip as follows:

pip install https://cntk.ai/PythonWheel/GPU/cntk-2.2-cp35-cp35m-linux_x86_64.whl

Adjust the wheel file if necessary (see https://docs.microsoft.com/en-us/cognitive-toolkit/Setup-Linux-Python?tabs=cntkpy22). 

1. After installing CNTK, we can import it into our Python environment:

import cntk

1. Let's create some simple dummy data that we can use for training:

import numpy as np
x_input = np.array([[1,2,3,4,5]], np.float32)
y_input = np.array([[10]], np.float32)

1. Next, we need to define the placeholders for the input data:

X = cntk.input_variable(5, np.float32)
y = cntk.input_variable(1, np.float32)

1. With CNTK, it's straightforward to stack multiple layers. We stack a dense layer with 32 inputs on top of an output layer with 1 output:

from cntk.layers import Dense, Sequential
model = Sequential([Dense(32),
                Dense(1)])(X)

1. Next, we define the loss function:

loss = cntk.squared_error(model, y)

1. Now, we are ready to finalize our model with an optimizer:

learning_rate = 0.001
trainer = cntk.Trainer(model, (loss), cntk.adagrad(model.parameters, learning_rate))

1. Finally, we can train our model as follows:

for epoch in range(10):
        trainer.train_minibatch({X: x_input, y: y_input})