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You have left your question open to interpretation, but your own interpretation must be at variance with the design of these tools. You should first read up on cygwin, and adjust your interpretation of "works for me" to match theirs. It is not an emulator which would allow any use of software built for linux. As described hereit's possible the mingw compiler, invoked from a cygwin shellby gcc -mno-cygwin, may be able to create a standard Windows program a.exe, e.g.
gcc -mno-cygwin yourprogram.c mkl_intel_c.lib mkl_core.lib mkl_sequential.lib
assuming you have set the MKL include and library paths and use the MKL upper-case function names.
So, you can't install MKL "for cygwin." mingw gcc is not one of the compilers supported by MKL, although it may work.
The usual way of using MKL with cygwin is to open up a command prompt windowin a Microsoft or Intel compiler installation, so that you use that compiler rather than one supplied for cygwin, then run your cygwin.bat to open a bash shell inside your Windows compiler environment. This allows you to use cygwin posix tools such as gnu make, with a standard Windows compiler. cygwin itself knows nothing about the paths for these compilers or cygwin, and may get in the way of using the Microsoft versions of certain tools.
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Hi, tim18, thank you for the reply!
Let me be more specific about my scenario. I want to install a numpy (numerical python) package in Cygwin.numpy requires some libraries which can be obtained from MKL. I at first installed MKL library under windows.Then I tried to link MKL librarieswithcygwin by the way specified inhttp://www.scipy.org/Installing_SciPy/Windows. But it never works. The details of how I linked the lib are provided as below:
Build NumPy
Once you've checked out the source for NumPy, create an empty file called ".numpy-site.cfg" in your home directory (something like C:Documents and Settingsusername). Windows Explorer might not allow you to create a file starting with ".", so you may have to use the command line to rename it. Make sure you have a HOME user environment variable that points to your home directory (see Control Panel/System/Advanced/Environment Variables). Add the following to the file, substituting your MKL installation path where appropriate:
# config file for building numpy on ia32 platform, # using Intel's Math Kernel Library for win32 # builds successfully with MSVC7.1 # replace C:Program FilesIntelMKL9.0 with your Intel MKL install path [mkl] include_dirs = C:Program FilesIntelMKL9.0include library_dirs = C:Program FilesIntelMKL9.0ia32lib mkl_libs = mkl_ia32, mkl_c_dll, libguide40 lapack_libs = mkl_lapack # mkl_c or mkl_c_dll? either seem to work: # mkl_c : "cdecl interface library" # mkl_c_dll : "cdecl interface library for dynamic library" # libguide or libguide40? either seem to work: # libguide.lib : "Static threading library" # libguide40.lib : "Interface library for dynamic threading library"
Check that the specified libraries can indeed be found by running:
python setup.py config
from the root NumPy source directory. Then, (as of numpy rev 3726) all that's required is running:
python setup.py install
from the root NumPy source directory. This should build NumPy without errors and install it to your site-packages directory. Finally, test your installation.

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