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This is a very small change, but when using cmake-gui, you can group entries by their prefix. The MKLROOT entry wasn't grouped with MKL because there wasn't an underscore between MKL and ROOT.
I just changed all entries of MKLROOT to MKL_ROOT in FindDependencies.cmake, so that it will appear in the MKL group.
Testing:
After change, I confirmed that it was grouped with MKL. After, I successfully built and ran a simple model (Linux, x86_64)