I completely restarted the build process from fresh (git clone). In addition to the renaming and copying .lib and .dll files, I also did some many configuration of environmental variables before the build. These are mostly based on what C:\IntelSWTools\compilers_and_libraries_2017.0.109\windows\mkl\bin\mklvars.bat would have done.
export MKLROOT=/c/IntelSWTools/compilers_and_libraries_2017.0.109/windows/mkl export MKL_TARGET_ARCH=intel64 export REDIST=/c/IntelSWTools/compilers_and_libraries_2017.0.109/windows/redist export MKL_LP64_ILP64=lp64 export LIB=/c/IntelSWTools/compilers_and_libraries_2017.0.109/windows/tbb/lib/intel64/vc_mt:/C/IntelSWTools/compilers_and_libraries_2017.0.109/windows/mkl/lib/intel64:/C/IntelSWTools/compilers_and_libraries_2017.0.109/windows/compiler/lib/intel64 export INCLUDE=/C/IntelSWTools/compilers_and_libraries_2017.0.109/windows/mkl/include Now I am stuck at a different place: Making install in SVD Making install in SYM libtool: compile: gcc -m64 -DTIME_WITH_SYS_TIME=1 -DHAVE_INTTYPES_H=1 -DHAVE_STDINT_H=1 -DHAVE_LOCALE_H=1 -DHAVE_WCHAR_H=1 -DHAVE_STDARG=1 -DHAVE_SYS_TIME_H=1 -DHAVE_STDINT_H=1 -DHAVE_VA_COPY=1 -DHAVE_SETLOCALE=1 -DHAVE_GETTIMEOFDAY=1 -DHAVE_LONG_LONG=1 -DHAVE_INTMAX_T=1 -DMPFR_HAVE_INTMAX_MAX=1 -DMPFR_HAVE_FESETROUND=1 -DHAVE_DENORMS=1 -DHAVE_ROUND=1 -DHAVE_TRUNC=1 -DHAVE_FLOOR=1 -DHAVE_CEIL=1 -DHAVE_NEARBYINT=1 -DHAVE_LDOUBLE_IEEE_EXT_LITTLE=1 -DLT_OBJDIR=\".libs/\" -DHAVE_ATTRIBUTE_MODE=1 -I. -I../src -I../src -DSRCDIR=\".\" -I/c/users/zpan/Documents/GitHub/julia/usr/include -DNPRINTF_L -DNPRINTF_T -DNPRINTF_J -MT random2.lo -MD -MP -MF .deps/random2.Tpo -c random2.c -DDLL_EXPORT -DPIC -o .libs/random2.o mv: cannot stat '/c/users/zpan/Documents/GitHub/julia/usr/bin/libarpack-2.dll': No such file or directory make[1]: *** [Makefile:1331: /c/users/zpan/Documents/GitHub/julia/usr/bin/libarpack.dll] Error 1 make[1]: *** Waiting for unfinished jobs.... I cannot find libarpack-2.dll or libarpack.dll anywhere. BTW, I bumped into a folder under MKL installation: C:\IntelSWTools\compilers_and_libraries_2017.0.109\windows\mkl\lib\intel64_win_mic The files inside seems to be Linux-like library files, but I don't know how they should be used: zpan@WSPWORK C:\IntelSWTools\compilers_and_libraries_2017.0.109\windows\mkl\lib\intel64_win_mic > dir Volume in drive C is Windows7_OS Volume Serial Number is 4131-0400 Directory of C:\IntelSWTools\compilers_and_libraries_2017.0.109\windows\mkl\lib\intel64_win_mic 09/16/2016 15:02 <DIR> . 09/16/2016 15:02 <DIR> .. 08/01/2016 18:36 19,309,845 libmkl_ao_worker.so 08/01/2016 18:30 2,119,960 libmkl_blas95_ilp64.a 08/01/2016 18:30 2,147,752 libmkl_blas95_lp64.a 08/01/2016 18:34 153,164,198 libmkl_core.a 08/01/2016 18:36 122,863,997 libmkl_core.so 08/01/2016 18:34 24,628,804 libmkl_intel_ilp64.a 08/01/2016 18:36 10,850,199 libmkl_intel_ilp64.so 08/01/2016 18:34 26,277,006 libmkl_intel_lp64.a 08/01/2016 18:36 12,012,951 libmkl_intel_lp64.so 08/01/2016 18:34 52,875,578 libmkl_intel_thread.a 08/01/2016 18:36 40,692,525 libmkl_intel_thread.so 08/01/2016 18:32 25,226,176 libmkl_lapack95_ilp64.a 08/01/2016 18:31 25,654,272 libmkl_lapack95_lp64.a 08/01/2016 18:36 5,128,544 libmkl_rt.so 08/01/2016 18:34 30,265,120 libmkl_sequential.a 08/01/2016 18:36 24,301,227 libmkl_sequential.so 08/01/2016 18:34 32,158,354 libmkl_tbb_thread.a 08/01/2016 18:36 25,593,814 libmkl_tbb_thread.so 09/16/2016 15:02 <DIR> locale 18 File(s) 635,270,322 bytes 3 Dir(s) 31,684,468,736 bytes free