akarbown opened a new pull request #20474:
URL: https://github.com/apache/incubator-mxnet/pull/20474


   OneMKL 2021.3 fixed linking OpenMP while using SDL and MKL_THREADING_LAYER 
set to GNU.
   
   ## Description ##
   OneMKL 2021.3 fixes the issue described 
[here](https://github.com/apache/incubator-mxnet/issues/18255#issuecomment-817830091).
 Thus, it enables linking with MKL dynamic libraries without having multiple 
OneMPs in a single process. It is possible due to linking MxNET with oneMKL 
Single Dynamic Library (SDL) and then setting the appropriate threading layer 
at run time in a function mkl_threading_layer() (or through environment 
variable MKL_THREADING_LAYER).
   
   Connected with: [#19610], [#18255] and [#17794].
   
   ### Changes ###      
   
   1. Add oneMKL 2021.3 to ubuntu docker images.
   2. Enable MKL SDL (MKL_USE_SINGLE_DYNAMIC_LIBRARY) as the default linking 
when MKL version is grower than 2021.2 and static linking is turned off. (Bug 
no: MKLD-11109, [OneMKL release 
notes](https://software.intel.com/content/www/us/en/develop/articles/intel-oneapi-math-kernel-library-onemkl-bug-fixes.html))
 .
   4. Otherwise, MKL static libraries are taken into account and used to build 
MxNET library.
   5. Add support of the new oneMKL file structure in the FindBLAS.cmake file 
(fix comes from the cmake 3.20: 
[#6210](https://gitlab.kitware.com/cmake/cmake/-/merge_requests/6210) ).
   
   
   ## Comments ##
   Does using oneMKL 2021.3 as the recommended one should be mentioned in the 
documentation?


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