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Sampling random variables following a Boltzmann distribution is an NP-hard problem involved in various applications such as training of Boltzmann machines, a specific kind of neural network. Several attempts have been made to use a D-Wave quantum computer to sample such a distribution, as this could lead to significant speedup in these applications. Yet, at present, several challenges remain to efficiently perform such sampling. We detail the various obstacles and explain the remaining difficulties in solving the sampling problem on a D-wave machine.