diff --git a/pyro/infer/csis.py b/pyro/infer/csis.py
index 1d392c2a2c..06db33a844 100644
--- a/pyro/infer/csis.py
+++ b/pyro/infer/csis.py
@@ -113,6 +113,8 @@ def loss_and_grads(self, grads, batch, *args, **kwargs):
                                    for site in particle_param_capture.trace.nodes.values())
                 guide_grads = torch.autograd.grad(particle_loss, guide_params, allow_unused=True)
                 for guide_grad, guide_param in zip(guide_grads, guide_params):
+                    if guide_grad is None:
+                        continue
                     guide_param.grad = guide_grad if guide_param.grad is None else guide_param.grad + guide_grad
 
             loss += torch_item(particle_loss)