I encounter this problem when trying to compile the implementation of NIN on the caffe branch cccp-dev.
To fix the error I had to include a MKL_DIR variable in the Makefile.config file and set it to
MKL_DIR := /opt/intel/mkl
I also included the mkl directory on my LD_LIBRARY_PATH but that didn't seem to help.
After doing that it compiled the code
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