Solved by fritzo in post #2 
              
              
                Normal is a batched univariate distribution. Your mu is being broadcast up to the same shape as C, producing an n,n batch of univariate normals. If you want a MultivariateNormal distribution, use 
n = 5
mu = torch.zeros(n)
C = torch.eye(n, n)
m = torch.distributions.MultivariateNormal(mu, covariance…