Added info that we should use lower case gpu in device even if NVIDIA use upper case.

doc/library/config.txt

@@ -115,6 +115,9 @@ import theano and print the config variable, as in:
 
     This flag's value cannot be modified during the program execution.
 
+    Do not use upper case letters, only lower case even if NVIDIA use
+    capital letters.
+
 .. attribute:: force_device
 
     Bool value: either ``True`` or ``False``

theano/configdefaults.py

@@ -46,7 +46,8 @@ AddConfigVar('int_division',
 AddConfigVar('device',
         ("Default device for computations. If gpu*, change the default to try "
          "to move computation to it and to put shared variable of float32 "
-         "on it."),
+         "on it. Do not use upper case letters, only lower case even if "
+         "NVIDIA use capital letters."),
         EnumStr('cpu', 'gpu',
             'gpu0', 'gpu1', 'gpu2', 'gpu3',
             'gpu4', 'gpu5', 'gpu6', 'gpu7',