CharBroil Propane Grill - Troubleshooting a problem
A few possibilities:
Make sure you open the valve on the gas tank before opening the knobs on the grill. If you do this in the wrong order, the regulator will see a large increase in gas flow and cut back.

Temperature: As LPG expands, it will cool the tank off. When pulling a lot of gas off, the side of the cylinder can even build up some frost. If the air is already cold, you might not be able to build up enough pressure to keep the gas flowing.

Restrictions in the tubing: Grills that sit out for the summer can have spiders or wasps in the gas hoses. These can restrict the gas flow. (not likely with your new grill, but there could be manufacturing debris).

Air intake: Propane needs air to burn. Some grills will have an air intake hole where the burner rests on the gas tubing. Make sure nothing is obstructing this, and if it's adjustable, try opening or closing it.