[MXNET-74]Update mkldnn to the newest & Add clang build test with mkldnn.

Jenkinsfile

@@ -226,6 +226,25 @@ try {
         }
       }
     },
+    'CPU: Clang 3.9 MKLDNN': {
+      node('mxnetlinux-cpu') {
+        ws('workspace/build-cpu-clang') {
+          init_git()
+          def flag = """ \
+            USE_PROFILER=1                \
+            USE_CPP_PACKAGE=1             \
+            USE_BLAS=mkl                  \
+            USE_MKLDNN=1                  \
+            USE_OPENMP=0                  \
+            CXX=clang++-3.9               \
+            CC=clang-3.9                  \
+            -j\$(nproc)
+            """
+          make("cpu_clang", flag)
+          pack_lib('cpu_clang')
+        }
+      }
+    },
     'CPU: Clang 5': {
       node('mxnetlinux-cpu') {
         ws('workspace/build-cpu-clang') {
@@ -244,6 +263,25 @@ try {
         }
       }
     },
+    'CPU: Clang 5 MKLDNN': {
+      node('mxnetlinux-cpu') {
+        ws('workspace/build-mkldnn-clang') {
+          init_git()
+          def flag = """ \
+            USE_PROFILER=1                \
+            USE_CPP_PACKAGE=1             \
+            USE_BLAS=mkl                  \
+            USE_MKLDNN=1                  \
+            USE_OPENMP=1                  \
+            CXX=clang++-5.0               \
+            CC=clang-5.0                  \
+            -j\$(nproc)
+            """
+          make("cpu_clang", flag)
+          pack_lib('cpu_clang')
+        }
+      }
+    },
     'CPU: MKLDNN': {
       node('mxnetlinux-cpu') {
         ws('workspace/build-mkldnn-cpu') {

tests/ci_build/Dockerfile.cpu_clang

@@ -19,3 +19,9 @@ RUN wget -O - http://apt.llvm.org/llvm-snapshot.gpg.key | apt-key add - && \
     apt-get install -y clang-3.9 clang-5.0 && \
     clang-3.9 --version && \
     clang-5.0 --version
+
+# Add MKLML library, compatiable with Ubuntu16.04
+RUN wget --no-check-certificate -O /tmp/mklml.tgz https://github.com/01org/mkl-dnn/releases/download/v0.12/mklml_lnx_2018.0.1.20171227.tgz
+RUN tar -zxvf /tmp/mklml.tgz && cp -rf mklml_*/* /usr/local/ && rm -rf mklml_*
+
+ENV LD_LIBRARY_PATH=${LD_LIBRARY_PATH}:/usr/local/lib