Make sure the PR have the proper MKL setting.

.appveyor.yml

@@ -12,6 +12,7 @@ environment:
   BINSTAR_TOKEN:
     secure: 58KqJcKtfCBVCuIzpnkLm4XZLQqKq95Hs8Ly20HWaMSla67nusrp3y4sy6XzZOBQ
   CONDA_LOC: "C:\\Miniconda-x64"
+  MKL_THREADING_LAYER: GNU
 
 install:
   # This breaks conda-build because of git

.jenkins/jenkins_pr_core.sh

@@ -5,6 +5,9 @@
 # Print commands as they are executed
 set -x
 
+# To make MKL work
+export MKL_THREADING_LAYER=GNU
+
 # Copy cache from master
 BASECOMPILEDIR=$HOME/.theano/pr_theano
 rsync -a $HOME/cache/ $HOME/.theano/pr_theano

.jenkins/jenkins_pr_gpu.sh

@@ -5,6 +5,8 @@
 # Print commands as they are executed
 set -x
 
+export MKL_THREADING_LAYER=GNU
+
 # Copy cache from master
 BASECOMPILEDIR=$HOME/.theano/pr_theano
 rsync -a $HOME/cache/ $HOME/.theano/pr_theano

.jenkins/jenkins_pr_pretest.sh

@@ -5,6 +5,8 @@
 # Print commands as they are executed
 set -x
 
+export MKL_THREADING_LAYER=GNU
+
 # Test flake8
 echo "===== Testing flake8"
 bin/theano-nose theano/tests/test_flake8.py --with-xunit --xunit-file=theano_pre_tests.xml || exit 1