This is a highly recurring question on the Internet. For obvious reasons, you should check the answer with your local by-laws.
Besides checking with your local authorities, common sense and safety should be foremost when handling combustible material in public.
The National Fire Protection Association (NFPA) has provided a valuable checklist to this effect: Grilling_safety_Tips.pdf (nfpa.org)
Finally, neighborliness should prevail if you are close to a crowd to ensure they don’t mind. Also, please be aware if younger children and others with respiratory diseases may be nearby. In such case, you may need to reduce the amount of smoke your grill produces.