diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml
new file mode 100644
index 00000000..46e5d2c9
--- /dev/null
+++ b/.github/workflows/main.yml
@@ -0,0 +1,68 @@
+name: CI
+
+# Controls when the workflow will run
+on:
+  # Triggers the workflow on push or pull request events but only for the master branch
+  push:
+    branches: [ master ]
+  pull_request:
+    branches: [ master ]
+    
+jobs:
+
+  # Checks compatibility with an old version of sklearn (0.20.3)
+  compatibility:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        os: [ubuntu-latest]
+        python-version: ['3.6', '3.7', '3.8']
+    steps:
+      - uses: actions/checkout@v2
+      - name: Set up Python
+        uses: actions/setup-python@v2
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Run Tests with skggm + scikit-learn 0.20.3
+        env:
+          SKGGM_VERSION: a0ed406586c4364ea3297a658f415e13b5cbdaf8
+        run:  |
+          sudo apt-get install liblapack-dev
+          pip install --upgrade pip pytest
+          pip install wheel cython numpy scipy codecov pytest-cov
+          pip install scikit-learn==0.20.3
+          pip install git+https://github.com/skggm/skggm.git@${SKGGM_VERSION}
+          pytest test --cov
+          bash <(curl -s https://codecov.io/bash)
+          
+  # Run normal testing with the latests versions of all dependencies
+  build:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        os: [ubuntu-latest]
+        python-version: ['3.6', '3.7', '3.8', '3.9']
+    steps:
+      - uses: actions/checkout@v2
+      - name: Set up Python
+        uses: actions/setup-python@v2
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Run Tests without skggm
+        run:  |
+          sudo apt-get install liblapack-dev
+          pip install --upgrade pip pytest
+          pip install wheel cython numpy scipy codecov pytest-cov scikit-learn
+          pytest test --cov
+          bash <(curl -s https://codecov.io/bash)
+      - name: Run Tests with skggm
+        env:
+          SKGGM_VERSION: a0ed406586c4364ea3297a658f415e13b5cbdaf8
+        run:  |
+          pip install git+https://github.com/skggm/skggm.git@${SKGGM_VERSION}
+          pytest test --cov
+          bash <(curl -s https://codecov.io/bash)
+      - name: Syntax checking with flake8
+        run: |
+          pip install flake8
+          flake8 --extend-ignore=E111,E114 --show-source;