Save in memory Cholesky decomposition to avoid re-compute it.

[PFLeget]

Save in memory the cholesky output to avoid re-doing it for nothing.

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 87.09%. Comparing base (aa786f7) to head (87964d2).

Additional details and impacted files

@@            Coverage Diff             @@
##           master      #26      +/-   ##
==========================================
+ Coverage   86.97%   87.09%   +0.11%     
==========================================
  Files           8        8              
  Lines         760      767       +7     
==========================================
+ Hits          661      668       +7     
  Misses         99       99              

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[cmsaunders]

Looks good. I think I would set self._alpha in __init__, since you could hypothetically call return_gp_predict before running initialize or _fit.

[cmsaunders]

I don't think it's possible for self._alpha to be None here, so this check won't help avoid recomputing K. I guess you could set K = None before line 176, then do if K is None:... here.