The MKL included in Anaconda is the dynamic version. However, we use the static version during build. And here’s how we enable MKL in CI.

REM Make sure you have 7z and curl installed.

REM Download MKL files
curl https://s3.amazonaws.com/ossci-windows/mkl_2018.2.185.7z -k -O
7z x -aoa mkl_2018.2.185.7z -omkl

REM Setting essential environment variables
set "CMAKE_INCLUDE_PATH=%cd%\\mkl\\include"
set "LIB=%cd%\\mkl\\lib;%LIB%"


Maybe an include dir is missing in the command. Could you please show me the full log?