Dyna Glo Vent Free Heater

I have a 30,000 btu heater I just purchased. I am wanting to use this for a small garage(500 square feet). I used a gas grille regulator to hook it up, to see if it would work. It lights and runs for a couple of minutes, then shuts off and kills the pilot. Do I have to have a different style regulator for this? Do I have a problem with my unit? Can I use a small tank, until I get a larger tank. I appreciate any help I can get.
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