Add test case

theano/scan_module/tests/test_scan.py

@@ -702,6 +702,30 @@ class T_Scan(unittest.TestCase):
         expected_result = [1, 2, 2]
         assert(result == expected_result)
 
+    def test_grad_grad_mitsot_sitsot(self):
+        # Test for an index error when taking the second derivative
+        # through a Scan node with one sitsot and one mitsot.
+
+        def inner_fct(mitsot_m2, mitsot_m1, sitsot):
+            total = mitsot_m2 + mitsot_m1 + sitsot
+            output = total ** 2
+            return output, output
+
+        inputs = [tensor.matrix(), tensor.vector()]
+        outputs_info = [dict(initial=inputs[0], taps=[-2, -1]), inputs[1]]
+
+        scan_outputs, updates = theano.scan(fn=inner_fct,
+                                            outputs_info=outputs_info,
+                                            n_steps=5)
+
+        # Take the gradient of each output wrt its corresponding initial state
+        gradients = [theano.grad(scan_outputs[0].sum(), inputs[0]),
+                     theano.grad(scan_outputs[1].sum(), inputs[1])]
+
+        # Take the gradient of the sum of gradients wrt the inputs
+        sum_of_grads = sum([g.sum() for g in gradients])
+        second_gradients = theano.grad(sum_of_grads, inputs[0])
+
     def test_grad_two_scans(self):
 
         # data input & output