update to use MKLDNN option

[jinhuang415]

MXNet has been moved to use MKLDNN instead of MKLML, so update the cmake option from USE_MKLML_MKL to USE_MKLDNN, for MXNet cmake options please refer to latest MXNet repo file CMakeLists.txt

This change is a followup for below MXNet issue, please help to merge this change to mshadow first and we can update MXNet side change later after this change:
apache/mxnet#9868

[jinhuang415]

@pengzhao-intel Add Patric

[jinhuang415]

@tqchen @piiswrong Would you help to review the PR in your proper time? Thanks.

[mike07026]

mxnet_option(USE_MKLDNN "Use MKLDNN variant of MKL (if MKL found)" ON IF USE_MKL_IF_AVAILABLE AND UNIX AND (NOT APPLE))

Does it mean that MKLDNN option does not support windows platform yet ?

[jinhuang415]

@mike07026 MKLDNN doesn't have such restriction and can support Linux/MAC/Windows all, I think this flag need to be changed to enable support for them

[szha]

This code base has been donated to the Apache MXNet project per #373, and repo is deprecated. Future development should continue in Apache MXNet.

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