Allow external mklml outside of prebuilt mkldnn install directory. (#2291)

* Allow external mklml outside of prebuilt mkldnn install directory.

* Limit prebuilt mkl-dnn support to Linux.

cmake/external_mkldnn.cmake

@@ -21,6 +21,12 @@ include(ExternalProject)
 #------------------------------------------------------------------------------
 
 if(MKLDNN_INCLUDE_DIR AND MKLDNN_LIB_DIR)
+    if(NOT LINUX)
+        message(FATAL_ERROR "Unsupported platform for prebuilt mkl-dnn!")
+    endif()
+    if(NOT MKLML_LIB_DIR)
+        set(MKLML_LIB_DIR ${MKLDNN_LIB_DIR})
+    endif()
     ExternalProject_Add(
         ext_mkldnn
         DOWNLOAD_COMMAND ""
@@ -33,11 +39,11 @@ if(MKLDNN_INCLUDE_DIR AND MKLDNN_LIB_DIR)
     target_include_directories(libmkldnn SYSTEM INTERFACE ${MKLDNN_INCLUDE_DIR})
     target_link_libraries(libmkldnn INTERFACE
         ${MKLDNN_LIB_DIR}/libmkldnn.so
-        ${MKLDNN_LIB_DIR}/libmklml_intel.so
-        ${MKLDNN_LIB_DIR}/libiomp5.so
+        ${MKLML_LIB_DIR}/libmklml_intel.so
+        ${MKLML_LIB_DIR}/libiomp5.so
         )
 
-    install(DIRECTORY ${MKLDNN_LIB_DIR}/ DESTINATION ${NGRAPH_INSTALL_LIB})
+    install(FILES ${MKLDNN_LIB_DIR}/libmkldnn.so ${MKLML_LIB_DIR}/libmklml_intel.so ${MKLML_LIB_DIR}/libiomp5.so  DESTINATION ${NGRAPH_INSTALL_LIB})
     return()
 endif()