If you are using standard 20# tanks, it sounds like you are tripping the safety device in the tank valve, that prevents it from allowing the lpg to free flow. What I do to make sure this doesn't happen, is to make sure that all the burners are in the off position, and the regulator is in the off position. From there, turn on the propane valve, then the regulator, then the burners.
The other solution, if this is your problem, is to go to a larger propane tank that doesn't have the safety valve on it (check before you buy).
If you are on natural gas, then I doubt this applies to you.
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