Thanks for your review @cjolivier01 :)

Actually for MKL builds another OpenMP library is provided (from Intel), 
specifically for MKLML. And it is stated in [MKLDNN 
README](https://github.com/intel/mkl-dnn/blob/master/README.md) that:

> Using GNU compiler with -fopenmp and -liomp5 options will link the 
> application with both Intel and GNU OpenMP runtime libraries. This will lead 
> to undefined behavior of the application.

In MXNet exactly this happens but with llvm openmp.

[ Full content available at: 
https://github.com/apache/incubator-mxnet/pull/12160 ]
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