I'm with steve and jazz. I'm pretty sure they'd not allow it in the city's Retiro Park. As steve says, even if it doesn't damage/harm the trees I doubt the police would bother to consult an expert by phone/radio.
But you could probably get away with it in the Casa de Campo park - because there no one would see you, probably, so you wouldn't likely get any strange stares - except maybe from the prostitutes. hehehe...
Feel free to contact Madrid's City Hall - but don't expect an answer. Maybe better, as your first stop, going to the tourist office in the Plaza Mayor and asking them as your first stop. They may not be able to tell you directly but they may be able to get in touch with the person/department who would know.
Good luck! Saludos, MadridMan
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