[rsfern]

The main bottleneck in GP models is the inversion of an NxN covariance matrix, so training with the most straightforward algorithm has cubic complexity (and quadratic memory complexity). 10k instance is what I’ve seen as the limit of tractability.

The input dimensionally doesn’t necessarily matter since it’s kernel method, but if you have many features and want to do feature selection or optimize parameters things can really stack up.

There are scalable approximate inference algorithms, and pretty good library support (gpflow, gpytorch, etc), but it seems like they are not widely known, and there are definitely tradeoffs to consider among the different methods.