@tom I got many problems when using these Lapack functions (for example 8). The Cholesky decomposition usually throws out the leading minor of order ... is not positive definite error, even with high jitter level (1e-5, sometimes for 1e-4).
Your candlegp library is really nice! What do you think about using pyro 4 with it? I make a simple version here (https://github.com/fehiepsi/pytorch-notebooks/blob/master/executable/GaussianProcess.ipynb 24, sorry for not putting any comment in the code  ).