added MKL installation instructions

INSTALL.md

@@ -141,3 +141,30 @@ Another useful debugging symbol is _GLIBCXX_DEBUG, which enables debug checks an
 NOTE:  The native Snow Leopard g++ compiler/library contains a bug that makes it impossible to use _GLIBCXX_DEBUG.  MacPorts g++ compilers do work with it though.
 
 NOTE:  If _GLIBCXX_DEBUG is used to compile gtsam, anything that links against gtsam will need to be compiled with _GLIBCXX_DEBUG as well, due to the use of header-only Eigen.
+
+
+## Installing MKL on Linux
+
+Intel has a guide for installing MKL on Linux through APT repositories at <https://software.intel.com/en-us/articles/installing-intel-free-libs-and-python-apt-repo>.
+
+After following the instructions, add the following to your `~/.bashrc` (and afterwards, open a new terminal before compiling GTSAM):
+`LD_PRELOAD` need only be set if you are building the cython wrapper to use GTSAM from python.
+```sh
+source /opt/intel/mkl/bin/mklvars.sh intel64
+export LD_PRELOAD="$LD_PRELOAD:/opt/intel/mkl/lib/intel64/libmkl_core.so:/opt/intel/mkl/lib/intel64/libmkl_sequential.so"
+```
+To use MKL in GTSAM pass the flag `-DGTSAM_WITH_EIGEN_MKL=ON` to cmake.
+
+
+The `LD_PRELOAD` fix seems to be related to a well known problem with MKL which leads to lots of undefined symbol errors, for example:
+- <https://software.intel.com/en-us/forums/intel-math-kernel-library/topic/300857>
+- <https://software.intel.com/en-us/forums/intel-distribution-for-python/topic/628976>
+- <https://groups.google.com/a/continuum.io/forum/#!topic/anaconda/J3YGoef64z8>
+
+Failing to specify `LD_PRELOAD` may lead to errors such as:
+`ImportError: /opt/intel/mkl/lib/intel64/libmkl_vml_avx2.so: undefined symbol: mkl_serv_getenv`
+or
+`Intel MKL FATAL ERROR: Cannot load libmkl_avx2.so or libmkl_def.so.`
+when importing GTSAM using the cython wrapper in python.
+
+

README.md

@@ -36,7 +36,8 @@ Prerequisites:
 Optional prerequisites - used automatically if findable by CMake:
 
 - [Intel Threaded Building Blocks (TBB)](http://www.threadingbuildingblocks.org/) (Ubuntu: `sudo apt-get install libtbb-dev`)
-- [Intel Math Kernel Library (MKL)](http://software.intel.com/en-us/intel-mkl)
+- [Intel Math Kernel Library (MKL)](http://software.intel.com/en-us/intel-mkl) (Ubuntu: [installing using APT](https://software.intel.com/en-us/articles/installing-intel-free-libs-and-python-apt-repo))
+    - see the `INSTALL` document for more installation information
 
 GTSAM 4 Compatibility
 ---------------------