Gaussian Process Regression with positive prediction weights

I want to do Gaussian Process Regression for a density function $f(x)$ with a gaussian kernel function $k(x, x')$.

Given the training data $\mathbf{x} = (x_1, x_2, \dots, x_N)$ and $\mathbf{f} = (f(x_1), f(x_2), \dots, f(x_N))$, the prediction at a new point $x^*$ is: $$f(x^*) = \mathbf{k}^T \mathbf{C}_N^{-1}\mathbf{f}$$ where $$\mathbf{k} = \begin{bmatrix} k(x_1, x^*)\\ \vdots\\ k(x_N, x^*) \end{bmatrix} \mathbf{C}_N = \begin{bmatrix} k(x_1, x_1) &\dots &k(x_1, x_N)\\ &\vdots\\ k(x_N, x_1) &\dots &k(x_N, x_N) \end{bmatrix}$$ As mentioned in Bishop's machine learning book, I can rewrite $$f(x^*) = \sum_{i = 1}^N a_i k(x_i, x^*)$$ with $a_i$ is the $i^{th}$ component of $\mathbf{C}_N^{-1}\mathbf{f}$.

As I use an gaussian kernel $k$, I can directly sample my density function, if all $a_i$ are positive.

My questions is if there exists a way to constraint positive $a_i$ in the GP regression?

Depending on what you need an even better approach might be to regress on $\log(f)$ instead of $f$.
Yes - provided you are will to stop learning. The biggest bottle neck of GPs is the inversion of K (the covariance matrix) which is order $O(n^3)$. But if you stop learning and keep $K^{-1}$ somewhere handy you can reuse it for multiple predictions and as such your $a$ is a constant. Unfortunately most people want systems that keep learning with new observations. In this case $a$ will change on each update.