I noticed that there is no cov_exp_quad()
for a covariance of this form (using TeX notation):
(\alpha^2)*\exp[-0.5*\sum_{d=1}^D ((x_{i,d} - x_{j,d})/rho_d)^2]
only for the special case where rho_1 = rho_2 = … = rho. Was there a reason for handling only this particular case?