Gaussian processes are lovely things. I’m a big fan. They are, however, thirsty. They will take your memory, your time, and anything else they can. Basically, the art of fitting Gaussian process models is the fine art of reducing the GP model until it’s simple enough to fit while still being flexible enough to be useful. There’s a long literature on effective approximation to Gaussian Processes that don’t turn out to be computational nightmares. I’m definitely not going to summarise...
