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Here's one way to use Emacs' Grand Unified Debugger (GUD) with the Sage library:

• Ensure sage is in the PATH.
• cd SAGE_ROOT
• cp local/lib/python/pdb.py .
• Change the first line of pdb.py to #!/usr/bin/env sage
• Run emacs and type M-x pdb + <ENTER>
• Use Run pdb (like this): ./pdb.py foo.py to debug foo.py.

Caveats:

• foo.py should contain a statement like from sage.all import *, in order to use Sage library code.
• The code in foo.py should not require the Sage preparser. You'll need to use R = PolynomialRing(QQ, 'a,b,c'), for example, instead of R.<a,b,c> = QQ[].

I hope there's a better way! But with this approach, stepping into R = PolynomialRing(QQ, 'a,b,c') will make Emacs jump to the appropriate line of polynomial_ring_constructor.py.