Just to report my progress and ask for help again if anybody succeeded in building Julia 0.4 or 0.5 on Windows with MKL.
I backed off a little and tried building release-0.5 on Windows following the standard instructions below. That is, without any MKL related configurations. https://github.com/JuliaLang/julia/blob/master/README.windows.md <https://www.google.com/url?q=https%3A%2F%2Fgithub.com%2FJuliaLang%2Fjulia%2Fblob%2Fmaster%2FREADME.windows.md&sa=D&sntz=1&usg=AFQjCNGelGTs4ABXwmqAlT9JV6MYK90O4g> But the build failed with Error 2 (some dependency failed to build). Since my main focus is to get MKL to work rather than trying out 0.5, I tried building release-0.4 first following the same instructions (no MKL). And that was a success! Encouraged, I added the following lines to Make.user and copied the 17 .lib files from the MKL library to julia/usr/bin and julia/usr/lib and C:\mkllib USE_INTEL_MKL = 1 USE_INTEL_MKL_FFT = 1 USE_INTEL_LIBM = 1 I also did this, though I know it probably won't matter: export MKLLIB=/c/mkllib "make -j 4" failed with the expected error: ... configure: error: Cannot find BLAS libraries ... make: *** [Makefile:51: julia-deps] Error 2 I know CMake probably won't be able to figure out Windows style libraries by itself, but I don't know how to make this work. Could anyone help? P.S. the 17 MKL .lib files are listed below: mkl_blas95_ilp64.lib mkl_blas95_lp64.lib mkl_core.lib mkl_core_dll.lib mkl_intel_ilp64.lib mkl_intel_ilp64_dll.lib mkl_intel_lp64.lib mkl_intel_lp64_dll.lib mkl_intel_thread.lib mkl_intel_thread_dll.lib mkl_lapack95_ilp64.lib mkl_lapack95_lp64.lib mkl_rt.lib mkl_sequential.lib mkl_sequential_dll.lib mkl_tbb_thread.lib mkl_tbb_thread_dll.lib
