leezu edited a comment on issue #19816:
URL: 
https://github.com/apache/incubator-mxnet/issues/19816#issuecomment-771694009


   You need to MXNet with mkldnn header files. Unfortunately the header files 
are missing in the public pypi pip packages and you need to compile from source 
for now. Please see https://mxnet.apache.org/get_started/build_from_source The 
issue is tracked at https://github.com/apache/incubator-mxnet/issues/19575


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