Place the rhubarb in a large dish, drizzle with honey, add the thyme and toss. Cook in the oven for around 40 minutes at 180°C, stirring halfway through: the rhubarb should be very tender.
Place the feta cheese in a small ovenproof dish and cover with the candied rhubarb. Drizzle with olive oil and return to the oven for around 20 minutes.