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.
You are right, (even though we do not care about sparse matrices here) computing the diagonal is as expensive as computing the full inverse (aka factorisation). My comment on the ldlt still holds