We have been using the build script from #4178 to keep up to date with PyTorch master for Pyro CI testing. The script fails now with the following error, which blocks us from updating PyTorch.

CMake Error at CMakeLists.txt:389 (MESSAGE):
  MKL header files not found.  If using conda, please run `conda install
  mkl-include`.  Otherwise, please make sure that CMake will search the
  directory containing the header files, e.g., by setting CMAKE_INCLUDE_PATH.

Could we update the build scripts to fix this issue? If there is an easy fix, I'll be happy to do so at our end and contribute the patch here. Possibly related: #5888

cc. @ezyang, @soumith