KLApproxDiagonalInferenceMethod (the third KL method)

@karlnapf 
Take a look at this.
Note that it may have similar issues you mentioned in other KL methods.
I will correct all of them tomorrow.
Just have it run to ensure everything work well.
Hi!
Thanks for these details, but they should go *into* the unit test (as a comment)
If they are just on github, they are basically lost. If you put this inside the unit test file, people can look at them.
Also, please use gist links, as they are fixed - in contrast to your repository.