Solved by KFrank in post #5 
              
              
                Hi Codeflux! 

I believe that MultivariateNormal and Normal have the same 
behavior in this regard. 
In general, you can’t differentiate or back propagate through calling 
.sample() on a Distribution.  This is true for Normal, as well as 
MultivariateNormal.  In contrast, you typically can backpropa…