BUG: IntervalIndex cannot be saved to HDF file

[twoertwein]

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

---

Code Sample, a copy-pastable example

import pandas as pd

data = pd.DataFrame({"a": [1]})
data.index = pd.IntervalIndex.from_arrays(
    [0.5],
    [0.9],
)

data.to_hdf('test.hdf', 'df')  # fails (as index)
data.reset_index().to_hdf('test.hdf', 'df')  # fails (as column)

Problem description

Pytables doesn't seems to know IntervalIndex. If pytables doesn't support IntervalIndex, pandas should either convert the IntervalIndex into two columns (and then merge them while reading) or throw an error early in to_hdf.

[simonjayhawkins]

index case appears to work for index case, albeit with a PerformanceWarning, in 0.25.3

>>> pd.__version__
'0.25.3'
>>>
>>> data = pd.DataFrame({"a": [1]})
>>> data.index = pd.IntervalIndex.from_arrays(
...     [0.5],
...     [0.9],
... )
>>>
>>> data.to_hdf("test.hdf", "df")
C:\Users\simon\anaconda3\envs\pandas-0.25.3\lib\site-packages\pandas\io\pytables.py:278: PerformanceWarning:
your performance may suffer as PyTables will pickle object types that it cannot
map directly to c-types [inferred_type->interval,key->axis1] [items->None]

  f(store)
>>>
>>> pd.read_hdf("test.hdf")
            a
(0.5, 0.9]  1
>>>