update ci/build_windows.py MKLROOT and readme (#19160)

ci/build_windows.py

@@ -292,8 +292,8 @@ def main():
             os.environ["OpenCV_DIR"] = "C:\\Program Files\\OpenCV-v3.4.1\\build"
         if 'CUDA_PATH' not in os.environ:
             os.environ["CUDA_PATH"] = "C:\\Program Files\\NVIDIA GPU Computing Toolkit\\CUDA\\v10.2"
-        if 'MKL_ROOT' not in os.environ:
-            os.environ["MKL_ROOT"] = "C:\\Program Files (x86)\\IntelSWTools\\compilers_and_libraries\\windows\\mkl"
+        if 'MKLROOT' not in os.environ:
+            os.environ["MKLROOT"] = "C:\\Program Files (x86)\\IntelSWTools\\compilers_and_libraries\\windows\\mkl"
         windows_build(args)
 
     elif system == 'Linux' or system == 'Darwin':

docs/python_docs/python/tutorials/performance/backend/mkldnn/mkldnn_readme.md

@@ -125,7 +125,7 @@ To build and install MXNet yourself, you need the following dependencies. Instal
 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 3](https://cmake.org/files/v3.14/cmake-3.14.0-win64-x64.msi) if it is not already installed.
 3. Download [OpenCV 3](https://sourceforge.net/projects/opencvlibrary/files/3.4.5/opencv-3.4.5-vc14_vc15.exe/download), and unzip the OpenCV package, set the environment variable ```OpenCV_DIR``` to point to the ```OpenCV build directory``` (e.g.,```OpenCV_DIR = C:\opencv\build ```). Also, add the OpenCV bin directory (```C:\opencv\build\x64\vc14\bin``` for example) to the ``PATH`` variable.
-4. If you have Intel Math Kernel Library (Intel 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\windows\mkl```.
+4. If you have Intel Math Kernel Library (Intel MKL) installed, set ```MKLROOT``` environment variable 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\windows\mkl```.
 5. 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/), or build the latest version of OpenBLAS from source. Note that you should also download ```mingw64.dll.zip``` along with openBLAS and add them to PATH.
 6. 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:\Downloads\OpenBLAS\```.
 
@@ -146,7 +146,7 @@ command:
 3. Enable Intel MKL-DNN and Intel MKL as BLAS library by the command:
 ```
 >"C:\Program Files (x86)\IntelSWTools\compilers_and_libraries\windows\mkl\bin\mklvars.bat" intel64
->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=mkl -DUSE_LAPACK=1 -DUSE_DIST_KVSTORE=0 -DCUDA_ARCH_NAME=All -DUSE_MKLDNN=1 -DCMAKE_BUILD_TYPE=Release -DMKL_ROOT="C:\Program Files (x86)\IntelSWTools\compilers_and_libraries\windows\mkl"
+>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=mkl -DUSE_LAPACK=1 -DUSE_DIST_KVSTORE=0 -DCUDA_ARCH_NAME=All -DUSE_MKLDNN=1 -DCMAKE_BUILD_TYPE=Release
 ```
 4. After the CMake successfully completed, in Visual Studio, open the solution file ```.sln``` and compile it, or compile the MXNet source code by using following command:
 ```r
@@ -161,7 +161,7 @@ msbuild mxnet.sln /p:Configuration=Release;Platform=x64 /maxcpucount
 User can follow the same steps of Visual Studio 2015 to build MXNET with MKL-DNN, but change the version related command, for example,```C:\opencv\build\x64\vc15\bin``` and build command is as below:
 
 ```
->cmake -G "Visual Studio 15 Win64" .. -DUSE_CUDA=0 -DUSE_CUDNN=0 -DUSE_NVRTC=0 -DUSE_OPENCV=1 -DUSE_OPENMP=1 -DUSE_PROFILER=1 -DUSE_BLAS=mkl -DUSE_LAPACK=1 -DUSE_DIST_KVSTORE=0 -DCUDA_ARCH_NAME=All -DUSE_MKLDNN=1 -DCMAKE_BUILD_TYPE=Release -DMKL_ROOT="C:\Program Files (x86)\IntelSWTools\compilers_and_libraries\windows\mkl"
+>cmake -G "Visual Studio 15 Win64" .. -DUSE_CUDA=0 -DUSE_CUDNN=0 -DUSE_NVRTC=0 -DUSE_OPENCV=1 -DUSE_OPENMP=1 -DUSE_PROFILER=1 -DUSE_BLAS=mkl -DUSE_LAPACK=1 -DUSE_DIST_KVSTORE=0 -DCUDA_ARCH_NAME=All -DUSE_MKLDNN=1 -DCMAKE_BUILD_TYPE=Release
 
 ```