@Peter_James were you able to resolve this issue? Strangely, I got the same error also after 206 samples trying to run a multilevel model. The ADVI+Minibatch worked for me, but for both Metropolis and NUTS I get the “mass matrix contains zeros on the diagonal” error.
I’m using:
numpy 1.20.2
pymc3 3.11.2
theano-pymc 1.1.2