Don't let scan AllocEmpty cause false alarm by NanGuardMode

theano/compile/nanguardmode.py

@@ -322,8 +322,9 @@ class NanGuardMode(Mode):
                     do_check_on(x[0], node, fn, True)
             fn()
             outputs = fn.outputs
-            for x in outputs:
-                do_check_on(x[0], node, fn, False)
+            for x, var in zip(outputs, node.outputs):
+                if getattr(var, 'nan_guard_mode_check', True):
+                    do_check_on(x[0], node, fn, False)
 
         wrap_linker = theano.gof.WrapLinker([theano.gof.OpWiseCLinker()],
                                             nan_check)

theano/scan_module/scan_utils.py

@@ -620,7 +620,9 @@ def expand_empty(tensor_var, size):
     new_shape = [size + shapes[0]] + shapes[1:]
     empty = tensor.AllocEmpty(tensor_var.dtype)(*new_shape)
 
-    return tensor.set_subtensor(empty[:shapes[0]], tensor_var)
+    ret = tensor.set_subtensor(empty[:shapes[0]], tensor_var)
+    ret.nan_guard_mode_check = False
+    return ret
 
 
 def equal_computations(xs, ys, in_xs=None, in_ys=None):

theano/tensor/basic.py

@@ -6238,6 +6238,11 @@ class AllocEmpty(gof.Op):
         # The outut can contain nan/inf.  output.type is a new
         # instance, so we can do this only for that variable.
         output.type.filter_checks_isfinite = False
+
+        # We can't reuse filter_checks_isfinite as by default it is
+        # False and it is set to true only in DebugMode.
+        # We can't set it in the type as other make_node can reuse the type.
+        output.nan_guard_mode_check = False
         return Apply(self, shape, [output])
 
     def perform(self, node, inputs, out_):

theano/tensor/opt.py

@@ -3076,6 +3076,9 @@ def local_inplace_setsubtensor(node):
             set_instead_of_inc=node.op.set_instead_of_inc,
             destroyhandler_tolerate_aliased=dta)
         new_node = new_op(*node.inputs)
+        # Keep the information needed for NanGuardMode.
+        new_node.nan_guard_mode_check = getattr(
+            node.op, 'nan_guard_mode_check', True)
         # Copy stacktrace from original outputs to new outputs.
         # This is sensible, because the new operation is the
         # same as the old one, but now with different attributes.