MKLDNN Update

[xkszltl]

Describe the bug

FYI MKLDNN 0.19 is out for a while with new version of MKLML, and MKLDNN v0.20 is already in RC

onnxruntime/cmake/external/mkldnn.cmake

Line 5 in 204bd38

set(MKLDNN_TAG v0.18.1)

[pranavsharma]

Thanks for the update? Have you tested it? How much perf improvement does it show?

[xkszltl]

No. It's just FYI.

Here's the story about what brings me to this:

I was faking MKLML with full MKL, which works great with native C++.
When we integrate it with .Net, C# tries to check for all symbols at load time, even if it's unused.
And interestingly it found a missing function in the latest version of full MKL (2019 update 4) but exists the version of MKLML used by onnxruntime (2019.0.3.20190220).

[snnn]

Talked with George, we are planning to do it. @faxu, you may follow up with George.

[peterjc123]

Any updates for this?

[snnn]

We have upgraded MKML. MKLDNN stays the same.

[peterjc123]

Do you have any plan to update MKLDNN to v0.20.1?

[snnn]

Sure. It's in progress. Intel is helping us doing the upgrade. @faxu has more details.

[faxu]

Will be addressed by #2102