https://www.oceanopticsbook.info/view/photometry-and-visibil...
Of course, it takes about 5 minutes to show that any DNN is going to have very very high magnitude off-diagonal terms by the way it's constructed, so pretending that a diagonal approximation is close enough is crazy.
There is a slight connection where Adam approximates full-matrix Adagrad which computes inverse square root of the convariance matrix, which you usually do using eigendecomposition, but on the covariance matrix SVD and eigendecomposition are equivalent (can easily be converted to each other), so you could use SVD to compute the inverse square root.