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.
result from the third KL method 

alpha =
    0.4465
   -0.2486
    0.4151
   -0.3619
   -0.2760


sW =

     []


L =

    2.2548    5.9200    0.9113   -5.9762   -2.4383
    5.9200   12.4309    2.5805  -14.6102   -4.5406
    0.9113    2.5805    1.4335   -5.1419    0.8100
   -5.9762  -14.6102   -5.1419   20.5124    2.5059
   -2.4383   -4.5406    0.8100    2.5059    3.3635


nlZ =

    5.9829


dnlZ =

    3.9600
   -0.7521