R: machine learning on GPU
As for a complete machine learning package on GPU's, no such package exists.  However, there are actually a handful of R packages that can use GPU's.  You can see these packages on the CRAN High Performance Computing page.  You should note that most of these packages do require you to have a NVIDIA card.  Of the packages available, there are three packages you most likely would utilize unless you have a special case.


gputools - if interested in distance computations (only NVIDIA).
gmatrix - general numeric computations (only NVIDIA).
gpuR - general numeric computations (any GPU via OpenCL).*


* NOTE - At the risk of self promotion I am the author of the gpuR package.

You can likely use the latter two packages to reproduce existing machine learning algorithms.  I am actually using my gpuR package to create a GPU accelerated neuralnet package but this is in progress.

So in summary, if you are determined, the basic resources are available in R.  But if you need something in the immediate future, you will need to explore other resources/approaches as pointed out by @YCR.