I was trying to build BVLC Caffe from source as described here on Ubuntu 18.04 with CUDA 10.0. CMake ended with this error:
Please set them or make sure they are set and tested correctly in the CMake files: CUDA_cublas_device_LIBRARY (ADVANCED)
This problem seems to occur with a combination of CUDA 10.0 or later and a CMake version that is older than 3.13. I upgraded to CMake 3.14.0 as described here and the problem was solved.