libraries not found by g++ are now printed to the user.

theano/gof/cmodule.py

@@ -2297,6 +2297,20 @@ class GCC_compiler(Compiler):
             print_command_line_error()
             # Print errors just below the command line.
             print(compile_stderr)
+            not_found_libraries = re.findall('-l["."-_a-zA-Z0-9]*', compile_stderr)
+            for nf_lib in not_found_libraries:
+                print('library ' + nf_lib[2:] + ' is not found.')
+                if re.search('-lPYTHON["."0-9]*', nf_lib, re.IGNORECASE):
+                    py_string = re.search('-lpython["."0-9]*', nf_lib, re.IGNORECASE).group()[8:]
+                    if py_string != '':
+                        print(
+                            'Check if package python-dev ' +  py_string + ' or python-devel ' +  py_string + ' is installed.'
+                        )
+                    else:
+                        print(
+                            'Check if package python-dev or python-devel is installed.'
+                        )
+
             # We replace '\n' by '. ' in the error message because when Python
             # prints the exception, having '\n' in the text makes it more
             # difficult to read.