Catch exception and forward NullType to input gradients, instead of failing

theano/scan_module/scan_op.py

@@ -1476,16 +1476,28 @@ class Scan(PureOp):
                    if (x in diff_inputs) and
                    (connection_pattern[
                        get_inp_idx(self_inputs.index(x))][odx])]
-            grads = gradient.grad(
-                cost=None,
-                known_grads={y: g_y},
-                wrt=wrt,
-                consider_constant=wrt,
-                disconnected_inputs='ignore',
-                return_disconnected='None')
-            gmp = dict(zip(wrt, grads))
+            gmp = OrderedDict()
+
+            for x in wrt:
+                try:
+                    gmp[x] = gradient.grad(
+                        cost=None,
+                        known_grads={y: g_y},
+                        wrt=x,
+                        consider_constant=wrt,
+                        disconnected_inputs='ignore',
+                        return_disconnected='None')
+                except gradient.NullTypeGradError:
+                    # The gradient wrt that particular input is undefined.
+                    # This is not necessarily an issue, because maybe that
+                    # particular input is not in the path between the
+                    # "cost" and "wrt" of the external, initial call to grad().
+                    # We simply forward the Null gradient.
+                    gmp[x] = x
+
             rval = [gmp.get(p, None) for p in diff_inputs]
             return rval
+
         dC_dinps_t = [None for inp in diff_inputs]
         disconnected_dC_dinps_t = [True for inp in diff_inputs]
         dC_dXts = []