Add boolean Theano flag cmodule.debug to enable DEBUG mode for C code.

doc/library/config.txt

@@ -1058,6 +1058,12 @@ import theano and print the config variable, as in:
     reused by Theano. Automatic deletion of those c module 7 days
     after that time.
 
+.. attribute:: config.cmodule.debug
+
+    Bool value, default: ``False``
+
+    If True, define a DEBUG macro (if not exists) for any compiled C code.
+
 .. attribute:: config.traceback.limit
 
     Int value, default: 8

theano/configdefaults.py

@@ -1139,6 +1139,11 @@ AddConfigVar('cmodule.age_thresh_use',
              IntParam(60 * 60 * 24 * 24, allow_override=False),
              in_c_key=False)
 
+AddConfigVar('cmodule.debug',
+             "If True, define a DEBUG macro (if not exists) for any compiled C code.",
+             BoolParam(False),
+             in_c_key=True)
+
 
 def default_blas_ldflags():
     global numpy

theano/gof/cc.py

@@ -910,6 +910,12 @@ class CLinker(link.Linker):
         The support code from Variables is added before the support code from Ops.This might contain duplicates.
         """
         ret = []
+        if config.cmodule.debug:
+            ret.append("""
+            #ifndef DEBUG
+            #define DEBUG
+            #endif
+            """)
         # generic support code
         for x in [y.type for y in self.variables] + [
                 y.op for y in self.node_order]: