diff --git a/python/ray/rllib/agents/ppo/ppo_policy_graph.py b/python/ray/rllib/agents/ppo/ppo_policy_graph.py
index b352f5608479..4bff7ba13119 100644
--- a/python/ray/rllib/agents/ppo/ppo_policy_graph.py
+++ b/python/ray/rllib/agents/ppo/ppo_policy_graph.py
@@ -39,7 +39,8 @@ def __init__(self,
                  clip_param=0.1,
                  vf_clip_param=0.1,
                  vf_loss_coeff=1.0,
-                 use_gae=True):
+                 use_gae=True,
+                 model_config={}):
         """Constructs the loss for Proximal Policy Objective.
 
         Arguments:
@@ -70,7 +71,7 @@ def __init__(self,
         def reduce_mean_valid(t):
             return tf.reduce_mean(tf.boolean_mask(t, valid_mask))
 
-        dist_cls, _ = ModelCatalog.get_action_dist(action_space, {})
+        dist_cls, _ = ModelCatalog.get_action_dist(action_space, model_config)
         prev_dist = dist_cls(logits)
         # Make loss functions.
         logp_ratio = tf.exp(
@@ -284,7 +285,9 @@ def __init__(self,
             clip_param=self.config["clip_param"],
             vf_clip_param=self.config["vf_clip_param"],
             vf_loss_coeff=self.config["vf_loss_coeff"],
-            use_gae=self.config["use_gae"])
+            use_gae=self.config["use_gae"],
+            model_config=self.config["model"]
+        )
 
         LearningRateSchedule.__init__(self, self.config["lr"],
                                       self.config["lr_schedule"])
diff --git a/python/ray/rllib/models/action_dist.py b/python/ray/rllib/models/action_dist.py
index 026a6c493e5c..790d96ad58c4 100644
--- a/python/ray/rllib/models/action_dist.py
+++ b/python/ray/rllib/models/action_dist.py
@@ -5,6 +5,7 @@
 from collections import namedtuple
 import distutils.version
 import tensorflow as tf
+import tensorflow_probability as tfp
 import numpy as np
 
 from ray.rllib.utils.annotations import override, DeveloperAPI
@@ -139,6 +140,40 @@ def _build_sample_op(self):
         return tf.stack([cat.sample() for cat in self.cats], axis=1)
 
 
+class MultiVariateDiagGaussian(ActionDistribution):
+    """
+    Action distribution where each vector element is a gaussian with
+    its independent mean and correlated std.
+    """
+    def __init__(self, inputs):
+        mean, log_std = tf.split(inputs, 2, axis=1)
+        std = tf.exp(log_std)
+        self.distribution = tfp.distributions.MultivariateNormalDiag(
+            loc=mean, scale_diag=std)
+        ActionDistribution.__init__(self, inputs)
+
+    @override(ActionDistribution)
+    def logp(self, x):
+        return self.distribution.log_prob(x)
+
+    @override(ActionDistribution)
+    def kl(self, other):
+        if not isinstance(other, MultiVariateDiagGaussian):
+            raise TypeError(
+                "Argument other expected type MultiVariateDiagGaussian. "
+                "Received type {}.".format(type(other))
+            )
+        return self.distribution.kl_divergence(other.distribution)
+
+    @override(ActionDistribution)
+    def entropy(self):
+        return self.distribution.entropy()
+
+    @override(ActionDistribution)
+    def _build_sample_op(self):
+        return self.distribution.sample()
+
+
 class DiagGaussian(ActionDistribution):
     """Action distribution where each vector element is a gaussian.
 
diff --git a/python/ray/rllib/models/catalog.py b/python/ray/rllib/models/catalog.py
index 776773552df1..667d336db486 100644
--- a/python/ray/rllib/models/catalog.py
+++ b/python/ray/rllib/models/catalog.py
@@ -14,7 +14,8 @@
 from ray.rllib.models.extra_spaces import Simplex
 from ray.rllib.models.action_dist import (Categorical, MultiCategorical,
                                           Deterministic, DiagGaussian,
-                                          MultiActionDistribution, Dirichlet)
+                                          MultiActionDistribution, Dirichlet,
+                                          MultiVariateDiagGaussian)
 from ray.rllib.models.torch_action_dist import (TorchCategorical,
                                                 TorchDiagGaussian)
 from ray.rllib.models.preprocessors import get_preprocessor
@@ -114,7 +115,17 @@ def get_action_dist(action_space, config, dist_type=None, torch=False):
                     "Consider reshaping this into a single dimension, "
                     "using a Tuple action space, or the multi-agent API.")
             if dist_type is None:
-                dist = TorchDiagGaussian if torch else DiagGaussian
+                if torch:
+                    dist = TorchDiagGaussian
+                else:
+                    custom_options = config.get("custom_options")
+                    if custom_options is None:
+                        dist = DiagGaussian
+                    else:
+                        if custom_options.get("use_multi_variate_normal_diag") is None:
+                            dist = DiagGaussian
+                        else:
+                            dist = MultiVariateDiagGaussian
                 if config.get("squash_to_range"):
                     raise ValueError(
                         "The squash_to_range option is deprecated. See the "