Installing cvxopt linked to Intel MKL via pip

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To install cvxopt linked to Intel MKL using pip, set environment variables in the installation commands as follows: sudo CVXOPT_BLAS_LIB_DIR=/opt/intel/mkl/lib/intel64 CVXOPT_BLAS_LIB=mkl_rt CVXOPT_LAPACK_LIB=mkl_rt HOME=$HOME pip3 install cvxopt. It is as easy as that! To see more configuration options, download the cvxopt source files and look at the script. It lists which environment variables you can set.