Update metropolis.py

allow for covariance matrix not only variance
pymc-devs · Jul 13, 2023 · 2b00b55 · 2b00b55
1 parent 6bfbff5
commit 2b00b55
Showing 1 changed file with 11 additions and 2 deletions.
diff --git a/pymc/step_methods/metropolis.py b/pymc/step_methods/metropolis.py
@@ -758,8 +758,13 @@ def __init__(
 
         if proposal_dist is not None:
             self.proposal_dist = proposal_dist(S)
-        else:
+        elif S.ndim == 1:
             self.proposal_dist = NormalProposal(S)
+        elif S.ndim == 2:
+            self.proposal_dist = MultivariateNormalProposal(S)
+        else:
+            raise ValueError("Invalid rank for variance: %s" % S.ndim)
+
 
         self.scaling = np.atleast_1d(scaling).astype("d")
         if lamb is None:
@@ -902,8 +907,12 @@ def __init__(
 
         if proposal_dist is not None:
             self.proposal_dist = proposal_dist(S)
-        else:
+        elif S.ndim == 1:
             self.proposal_dist = NormalProposal(S)
+        elif S.ndim == 2:
+            self.proposal_dist = MultivariateNormalProposal(S)
+        else:
+            raise ValueError("Invalid rank for variance: %s" % S.ndim)
 
         self.scaling = np.atleast_1d(scaling).astype("d")
         if lamb is None: