Fix/link to mkl build

[azai91]

Description

Building mxnet with mkldnn in master causes the following error

[78/204] Building CXX object CMakeFiles/mxnet_static.dir/src/operator/nn/dropout.cc.o
FAILED: /usr/bin/c++   -DCUB_MKL=1 -DDMLC_USE_CXX11 -DDMLC_USE_CXX11=1 -DMSHADOW_IN_CXX11 -DMSHADOW_USE_CBLAS=1 -DMSHADOW_USE_CUDA=0 -DMSHADOW_USE_MKL=0 -DMSHADOW_USE_SSE=1 -DMXNET_USE_LAPACK=1 -DMXNET_USE_MKLDNN=1 -DMXNET_USE_NCCL=0 -DMXNET_USE_OPENCV=1 -DMXNET_USE_OPERATOR_TUNING=1 -DUSE_MKL=1 -I../3rdparty/mkldnn/include -I../include -I../src -isystem /usr/local/include -I../3rdparty/mshadow -I../3rdparty/cub -I../3rdparty/tvm/nnvm/include -I../3rdparty/tvm/include -I../3rdparty/dmlc-core/include -I../3rdparty/dlpack/include -isystem /usr/local/include/opencv -Wall -Wno-unknown-pragmas -Wno-sign-compare -O0 -g -msse2 -std=c++11 -mf16c -fopenmp -std=c++0x -g -fPIC -MMD -MT CMakeFiles/mxnet_static.dir/src/operator/nn/dropout.cc.o -MF CMakeFiles/mxnet_static.dir/src/operator/nn/dropout.cc.o.d -o CMakeFiles/mxnet_static.dir/src/operator/nn/dropout.cc.o -c ../src/operator/nn/dropout.cc
In file included from ../src/operator/nn/dropout.cc:27:0:
../src/operator/nn/./dropout-inl.h:45:31: fatal error: mkl_vml_functions.h: No such file or directory

In in past PR that updated the mkldnn version (#13181) the cmake script was modified that removed including mkl headers. The following PR fixes this.

Checklist

Essentials

Please feel free to remove inapplicable items for your PR.

• The PR title starts with [MXNET-$JIRA_ID], where $JIRA_ID refers to the relevant JIRA issue created (except PRs with tiny changes)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage:
• Unit tests are added for small changes to verify correctness (e.g. adding a new operator)
• Nightly tests are added for complicated/long-running ones (e.g. changing distributed kvstore)
• Build tests will be added for build configuration changes (e.g. adding a new build option with NCCL)
• Code is well-documented:
• For user-facing API changes, API doc string has been updated.
• For new C++ functions in header files, their functionalities and arguments are documented.
• For new examples, README.md is added to explain the what the example does, the source of the dataset, expected performance on test set and reference to the original paper if applicable
• Check the API doc at http://mxnet-ci-doc.s3-accelerate.dualstack.amazonaws.com/PR-$PR_ID/$BUILD_ID/index.html
• To the my best knowledge, examples are either not affected by this change, or have been fixed to be compatible with this change

Changes

• Feature1, tests, (and when applicable, API doc)
• Feature2, tests, (and when applicable, API doc)

Comments

• If this change is a backward incompatible change, why must this change be made.
• Interesting edge cases to note here

[azai91]

@TaoLv what was the reasoning for not including mkl headers?

[TaoLv]

Thanks for the fix, @azai91 . This change was merged from #11148 and seems it has been verified on different platforms. I noticed the header missing error on windows build, so I included them back for MSVC path. But I didn't observed any failure for other platforms in the CI. Please refer the CI outputs from #13181 . Also, ping @lebeg for review.

[kalyc]

@mxnet-label-bot add [pr-awaiting-review]
Thanks for your contributions @azai91

[lebeg]

It's good to have the problem fixed ASAP, but probably the include should happen not in this file in the future.

[kalyc]

@mxnet-label-bot udpate [pr-awaiting-merge]

[larroy]

I'm impacted by this, please merge.

[kalyc]

@nswamy @sandeep-krishnamurthy @eric-haibin-lin could you please help merge this PR?