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 second KL method (note that sW, W, L are different in this Method)

alpha =
    0.4610
   -0.2721
    0.4321
   -0.3693
   -0.2929


sW =

     []


L =

   -0.1338    0.0103    0.0205    0.0260    0.0236
    0.0103   -0.1263    0.0146    0.0313    0.0292
    0.0205    0.0146   -0.1290    0.0305    0.0067
    0.0260    0.0313    0.0305   -0.1528    0.0288
    0.0236    0.0292    0.0067    0.0288   -0.1305


nlZ =

    3.6869


dnlZ =

    0.6462
    0.0924