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For generating the training set we choose
$$a \sim \mu \text { where } \mu=f \sharp \mathcal{N}(0,C)$$ with
$$C(x,y)=e^{-||x-y||}$$
and
$$f(x)=\begin{cases} -x & x<-1\
\frac{1}{2}x^{2}+\frac{1}{2} -1 & \ge x\le 1 \
x & x>1 .$$
This system has an unique solution. As everything is regular, the solution is also a strong solution.