I want to transform one variable into another within my model, but the transformation function is not analytic. Linear interpolation based on a lookup table will do as an approximation. I can create such a function very easily in scipy,
f = scipy.interpolate.interp1d(x, y)
y are from the lookup table. I guess I can wrap
f inside a Theano Op, but I also need the gradient for NUTS to sample, right? Is there an easy way to calculate this?