Update doc and docstring

doc/tutorial/debug_faq.txt

@@ -608,3 +608,6 @@ Breakpoint during Theano function execution
 
 You can set a breakpoint during the execution of a Theano function with
 :class:`PdbBreakpoint <theano.tests.breakpoint.PdbBreakpoint>`.
+:class:`PdbBreakpoint <theano.tests.breakpoint.PdbBreakpoint>` automatically
+detects available debuggers and uses the first available in the following order:
+`pudb`, `ipdb`, or `pdb`.

theano/tests/breakpoint.py

@@ -11,7 +11,8 @@ class PdbBreakpoint(Op):
     """
     This is an identity-like op with the side effect of enforcing a
     conditional breakpoint, inside a theano function, based on a symbolic
-    scalar condition.
+    scalar condition. It automatically detects available debuggers and uses
+    the first available in the following order: `pudb`, `ipdb`, or `pdb`.
 
     :type name: String
     :param name: name of the conditional breakpoint. To be printed when the