diff --git a/setup.py b/setup.py
index 13c37f0..fd6b8c8 100644
--- a/setup.py
+++ b/setup.py
@@ -19,6 +19,7 @@ setup(name='baselines',
           'azure==1.0.3',
           'progressbar2',
           'mpi4py',
+          'cloudpickle',
       ],
       description="OpenAI baselines: high quality implementations of reinforcement learning algorithms",
       author="OpenAI",