It is a pretty short list of what can be causing it. If the pilot flame is steady on the correct area of the Thermocouple, the proper low voltage will be created, and sent through the copper end of the Thermocouple, to the valve where it will energize a magnet, which allows the gas to continue to flow through the valve, out of the pilot hood.
The problem could be the pilot magnet, which you can do an Ohms test on, or it could be something diminishing the pilot flame to the point where it is not heating the thermocouple sufficiently to maintain the pilot magnet. This could be low supply pressure of gas, or venting issues with down drafts moving the pilot flame off of the thermocouple.
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