Add linux and macos MKLDNN Building Instruction

MKLDNN_README.md

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+# Build/Install MXNet with MKL-DNN
+
+<h2 id="0">Contents</h2>
+
+* [1. Linux](#1)
+* [2. MacOS](#2)
+* [3. Windows](#3)
+* [4. Verify MXNet with python](#4)
+* [5. Enable MKL BLAS](#5)
+
+<h2 id="1">Linux</h2>
+
+### Prerequisites
+
+```
+apt-get update && apt-get install -y build-essential git libopencv-dev curl gcc libopenblas-dev python python-pip python-dev python-opencv graphviz python-scipy python-sklearn
+```
+
+### Clone MXNet sources
+
+```
+git clone --recursive https://github.com/apache/incubator-mxnet.git
+cd incubator-mxnet
+git submodule update --recursive --init
+```
+
+### Build MXNet with MKL-DNN
+
+```
+make -j $(nproc) USE_OPENCV=1 USE_MKLDNN=1 USE_BLAS=mkl USE_INTEL_PATH=/opt/intel
+```
+
+If you don't have full MKL library installed, you can use OpenBLAS by setting `USE_BLAS=openblas`.
+
+<h2 id="2">MacOS</h2>
+
+### Prerequisites
+
+Install the dependencies, required for MXNet, with the following commands:
+
+- [Homebrew](https://brew.sh/)
+- gcc (clang in macOS does not support OpenMP)
+- OpenCV (for computer vision operations)
+
+```
+# Paste this command in Mac terminal to install Homebrew
+/usr/bin/ruby -e "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/master/install)"
+
+# install dependency
+brew update
+brew install pkg-config
+brew install graphviz
+brew tap homebrew/core
+brew install opencv
+brew tap homebrew/versions
+brew install gcc49
+brew link gcc49
+```
+
+### Enable OpenMP for MacOS
+
+If you want to enable OpenMP for better performance, you should modify these two files:
+
+1. Makefile L138:
+
+```
+ifeq ($(USE_OPENMP), 1)
+# ifneq ($(UNAME_S), Darwin)
+    CFLAGS += -fopenmp
+# endif
+endif
+```
+
+2. prepare_mkldnn.sh L96:
+
+```
+CC=gcc-4.9 CXX=g++-4.9 cmake $MKLDNN_ROOTDIR -DCMAKE_INSTALL_PREFIX=$MKLDNN_INSTALLDIR -B$MKLDNN_BUILDDIR -DARCH_OPT_FLAGS="-mtune=generic" -DWITH_TEST=OFF -DWITH_EXAMPLE=OFF >&2
+```
+
+### Build MXNet with MKL-DNN
+
+```
+make -j $(sysctl -n hw.ncpu) USE_OPENCV=0 USE_OPENMP=1 USE_MKLDNN=1 USE_BLAS=apple USE_PROFILER=1
+```
+
+*Note: Temporarily disable OPENCV.*
+
+<h2 id="3">Windows</h2>
+
+To build and install MXNet yourself, you need the following dependencies. Install the required dependencies:
+
+1. If [Microsoft Visual Studio 2015](https://www.visualstudio.com/vs/older-downloads/) is not already installed, download and install it. You can download and install the free community edition.
+2. Download and Install [CMake](https://cmake.org/) if it is not already installed.
+3. Download and install [OpenCV](http://sourceforge.net/projects/opencvlibrary/files/opencv-win/3.0.0/opencv-3.0.0.exe/download).
+4. Unzip the OpenCV package.
+5. Set the environment variable ```OpenCV_DIR``` to point to the ```OpenCV build directory``` (```C:\opencv\build\x64\vc14``` for example). Also, you need to add the OpenCV bin directory (```C:\opencv\build\x64\vc14\bin``` for example) to the ``PATH`` variable.
+6. If you have Intel Math Kernel Library (MKL) installed, set ```MKL_ROOT``` to point to ```MKL``` directory that contains the ```include``` and ```lib```. If you want to use MKL blas, you should set ```-DUSE_BLAS=mkl``` when cmake. Typically, you can find the directory in
+```C:\Program Files (x86)\IntelSWTools\compilers_and_libraries_2018\windows\mkl```.
+7. If you don't have the Intel Math Kernel Library (MKL) installed, download and install [OpenBLAS](http://sourceforge.net/projects/openblas/files/v0.2.14/). Note that you should also download ```mingw64.dll.zip`` along with openBLAS and add them to PATH.
+8. Set the environment variable ```OpenBLAS_HOME``` to point to the ```OpenBLAS``` directory that contains the ```include``` and ```lib``` directories. Typically, you can find the directory in ```C:\Program files (x86)\OpenBLAS\```. 
+
+After you have installed all of the required dependencies, build the MXNet source code:
+
+1. Download the MXNet source code from [GitHub](https://github.com/apache/incubator-mxnet). Don't forget to pull the submodules:
+```
+git clone --recursive https://github.com/apache/incubator-mxnet.git
+```
+
+2. Copy file `3rdparty/mkldnn/config_template.vcxproj` to incubator-mxnet root.
+
+3. Start a Visual Studio command prompt.
+
+4. Use [CMake](https://cmake.org/) to create a Visual Studio solution in ```./build``` or some other directory. Make sure to specify the architecture in the 
+[CMake](https://cmake.org/) command:
+```
+mkdir build
+cd build
+cmake -G "Visual Studio 14 Win64" .. -DUSE_CUDA=0 -DUSE_CUDNN=0 -DUSE_NVRTC=0 -DUSE_OPENCV=1 -DUSE_OPENMP=1 -DUSE_PROFILER=1 -DUSE_BLAS=open -DUSE_LAPACK=1 -DUSE_DIST_KVSTORE=0 -DCUDA_ARCH_NAME=All -DUSE_MKLDNN=1 -DCMAKE_BUILD_TYPE=Release
+```
+
+5. In Visual Studio, open the solution file,```.sln```, and compile it.
+These commands produce a library called ```libmxnet.dll``` in the ```./build/Release/``` or ```./build/Debug``` folder.
+Also ```libmkldnn.dll``` with be in the ```./build/3rdparty/mkldnn/src/Release/```
+
+6. Make sure that all the dll files used above(such as `libmkldnn.dll`, `libmklml.dll`, `libiomp5.dll`, `libopenblas.dll`, etc) are added to the system PATH. For convinence, you can put all of them to ```\windows\system32```. Or you will come across `Not Found Dependencies` when loading mxnet.
+
+<h2 id="4">Verify MXNet with python</h2>
+
+```
+export PYTHONPATH=~/incubator-mxnet/python
+pip install --upgrade pip 
+pip install --upgrade jupyter graphviz cython pandas bokeh matplotlib opencv-python requests
+python -c "import mxnet as mx;print((mx.nd.ones((2, 3))*2).asnumpy());"
+
+Expected Output:
+
+[[ 2.  2.  2.]
+ [ 2.  2.  2.]]
+```
+
+### Verify whether MKL-DNN works
+
+After MXNet is installed, you can verify if MKL-DNN backend works well with a single Convolution layer.
+
+```
+import mxnet as mx
+import numpy as np
+
+num_filter = 32
+kernel = (3, 3)
+pad = (1, 1)
+shape = (32, 32, 256, 256)
+
+x = mx.sym.Variable('x')
+w = mx.sym.Variable('w')
+y = mx.sym.Convolution(data=x, weight=w, num_filter=num_filter, kernel=kernel, no_bias=True, pad=pad)
+exe = y.simple_bind(mx.cpu(), x=shape)
+
+exe.arg_arrays[0][:] = np.random.normal(size=exe.arg_arrays[0].shape)
+exe.arg_arrays[1][:] = np.random.normal(size=exe.arg_arrays[1].shape)
+
+exe.forward(is_train=False)
+o = exe.outputs[0]
+t = o.asnumpy()
+```
+
+You can open the `MKLDNN_VERBOSE` flag by setting environment variable:
+```
+export MKLDNN_VERBOSE=1
+```
+Then by running above code snippet, you probably will get the following output message which means `convolution` and `reorder` primitive from MKL-DNN are called. Layout information and primitive execution performance are also demonstrated in the log message.
+```
+mkldnn_verbose,exec,reorder,jit:uni,undef,in:f32_nchw out:f32_nChw16c,num:1,32x32x256x256,6.47681
+mkldnn_verbose,exec,reorder,jit:uni,undef,in:f32_oihw out:f32_OIhw16i16o,num:1,32x32x3x3,0.0429688
+mkldnn_verbose,exec,convolution,jit:avx512_common,forward_inference,fsrc:nChw16c fwei:OIhw16i16o fbia:undef fdst:nChw16c,alg:convolution_direct,mb32_g1ic32oc32_ih256oh256kh3sh1dh0ph1_iw256ow256kw3sw1dw0pw1,9.98193
+mkldnn_verbose,exec,reorder,jit:uni,undef,in:f32_oihw out:f32_OIhw16i16o,num:1,32x32x3x3,0.0510254
+mkldnn_verbose,exec,reorder,jit:uni,undef,in:f32_nChw16c out:f32_nchw,num:1,32x32x256x256,20.4819
+```
+
+<h2 id="5">Enable MKL BLAS</h2>
+
+To make it convenient for customers, Intel introduced a new license called [Intel® Simplified license](https://software.intel.com/en-us/license/intel-simplified-software-license) that allows to redistribute not only dynamic libraries but also headers, examples and static libraries.
+
+Installing and enabling the full MKL installation enables MKL support for all operators under the linalg namespace.
+
+  1. Download and install the latest full MKL version following instructions on the [intel website.](https://software.intel.com/en-us/mkl)
+
+  2. Run `make -j ${nproc} USE_BLAS=mkl`
+
+  3. Navigate into the python directory
+
+  4. Run `sudo python setup.py install`
+
+### Verify whether MKL works
+
+After MXNet is installed, you can verify if MKL BLAS works well with a single dot layer.
+
+```
+import mxnet as mx
+import numpy as np
+
+shape_x = (1, 10, 8)
+shape_w = (1, 12, 8)
+
+x_npy = np.random.normal(0, 1, shape_x)
+w_npy = np.random.normal(0, 1, shape_w)
+
+x = mx.sym.Variable('x')
+w = mx.sym.Variable('w')
+y = mx.sym.batch_dot(x, w, transpose_b=True)
+exe = y.simple_bind(mx.cpu(), x=x_npy.shape, w=w_npy.shape)
+
+exe.forward(is_train=False)
+o = exe.outputs[0]
+t = o.asnumpy()
+```
+
+You can open the `MKL_VERBOSE` flag by setting environment variable:
+```
+export MKL_VERBOSE=1
+```
+Then by running above code snippet, you probably will get the following output message which means `SGEMM` primitive from MKL are called. Layout information and primitive execution performance are also demonstrated in the log message.
+```
+Numpy + Intel(R) MKL: THREADING LAYER: (null)
+Numpy + Intel(R) MKL: setting Intel(R) MKL to use INTEL OpenMP runtime
+Numpy + Intel(R) MKL: preloading libiomp5.so runtime
+MKL_VERBOSE Intel(R) MKL 2018.0 Update 1 Product build 20171007 for Intel(R) 64 architecture Intel(R) Advanced Vector Extensions 512 (Intel(R) AVX-512) enabled processors, Lnx 2.40GHz lp64 intel_thread NMICDev:0
+MKL_VERBOSE SGEMM(T,N,12,10,8,0x7f7f927b1378,0x1bc2140,8,0x1ba8040,8,0x7f7f927b1380,0x7f7f7400a280,12) 8.93ms CNR:OFF Dyn:1 FastMM:1 TID:0  NThr:40 WDiv:HOST:+0.000
+```