vycezhong opened a new issue #19575:
URL: https://github.com/apache/incubator-mxnet/issues/19575


   I encountered an compilation error showing that <mkldnn.h> is not found when 
I tried to compile BytePS with mxnet-cu102==1.7.0. I checked the mxnet package 
and indeed there is no MKLDNN header.
   
   However, interestingly I found that it supports MKLDNN. And later I found 
MKLDNN is enabled by default in 1.7.0. 
https://github.com/apache/incubator-mxnet/pull/16899
   
   
![image](https://user-images.githubusercontent.com/25879526/99901319-ed4dbc80-2cf0-11eb-9c23-1e52384290f8.png)
   
   So I suggest including the headers in the pip package. 


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