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Fixes #24334.

I'm still kind of confused why FindMKL.cmake was unable to locate my MKL libraries. They are in the standard /opt/intel/mkl installation prefix on macOS. But at least with this more detailed error message, it will be easier for people to figure out how to fix the problem.

@zhangguanheng66 @xkszltl @soumith

IF(NOT MKL_FOUND AND MKL_FIND_REQUIRED)
MESSAGE(FATAL_ERROR "MKL library not found. Please specify library location")
MESSAGE(FATAL_ERROR "MKL library not found. Please specify library location \
by setting CMAKE_PREFIX_PATH to the root directory of the MKL installation.")
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It might be better to mention that you should append the directory to CMAKE_PREFIX_PATH, in case someone already has directories listed there.

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@soumith is landing this pull request. If you are a Facebook employee, you can view this diff on Phabricator.

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@soumith merged this pull request in 4cf7277.

zdevito pushed a commit to zdevito/ATen that referenced this pull request Oct 28, 2019
Summary:
Fixes pytorch/pytorch#24334.

I'm still kind of confused why `FindMKL.cmake` was unable to locate my MKL libraries. They are in the standard `/opt/intel/mkl` installation prefix on macOS. But at least with this more detailed error message, it will be easier for people to figure out how to fix the problem.

zhangguanheng66 xkszltl soumith
Pull Request resolved: pytorch/pytorch#28779

Differential Revision: D18170998

Pulled By: soumith

fbshipit-source-id: 47e61baadd84c758267dca566eb1fb8a081de92f
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Build system cannot find MKL libraries

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