@anko-intel commented on this pull request.

I am ok with the changes already made to being merged as is (additional fixes 
could be made in separate PR).

> @@ -399,7 +399,7 @@ If ctypes is used, it must be 
> `mxnet._ctypes.ndarray.NDArrayBase`.
   - Values: 0(false) or 1(true) ```(default=1)```
   - If this variable is set, MXNet will simplify the computation graph, 
eliminating duplicated operations on the same inputs.
 
-* MXNET_USE_MKLDNN_RNN
+* MXNET_USE_ONEDNN_RNN
   - Values: 0(false) or 1(true) ```(default=1)```
   - This variable controls whether to use the MKL-DNN backend in fused RNN 
operator for CPU context. There are two fusion implementations of RNN operator 
in MXNet. The MKL-DNN implementation has a better performance than the naive 
one, but the latter is more stable in the backward operation currently.

old name

>  if(USE_MKL_IF_AVAILABLE AND (NOT APPLE) AND (NOT MSVC) AND 
> (CMAKE_HOST_SYSTEM_PROCESSOR STREQUAL "x86_64") AND (NOT 
> CMAKE_CROSSCOMPILING))
-  option(USE_MKLDNN "Build with MKL-DNN support" ON)
+  option(USE_ONEDNN "Build with MKL-DNN support" ON)

Why one DNN depends on existing of MKL library ? Is oneDNN still dependent on 
MKL?

> @@ -62,18 +62,18 @@ To achieve better performance, the Intel OpenMP and llvm 
> OpenMP are recommended
 ```

Old MKL-DNN names starting from line 18.
Maybe the directory and file name could be also changed

> @@ -327,7 +327,7 @@ If ctypes is used, it must be 
> `mxnet._ctypes.ndarray.NDArrayBase`.
 * MXNET_MKLDNN_ENABLED
   - Values: 0, 1 ```(default=1)```
   - Flag to enable or disable MKLDNN accelerator. On by default.
-  - Only applies to mxnet that has been compiled with MKLDNN (```pip install 
mxnet-mkl``` or built from source with ```USE_MKLDNN=1```)
+  - Only applies to mxnet that has been compiled with MKLDNN (```pip install 
mxnet-mkl``` or built from source with ```USE_ONEDNN=1```)

should be ``pip install mxnet`` as oneDNN is enabled by default


> @@ -327,7 +327,7 @@ If ctypes is used, it must be 
> `mxnet._ctypes.ndarray.NDArrayBase`.
 * MXNET_MKLDNN_ENABLED
   - Values: 0, 1 ```(default=1)```
   - Flag to enable or disable MKLDNN accelerator. On by default.
-  - Only applies to mxnet that has been compiled with MKLDNN (```pip install 
mxnet-mkl``` or built from source with ```USE_MKLDNN=1```)
+  - Only applies to mxnet that has been compiled with MKLDNN (```pip install 
mxnet-mkl``` or built from source with ```USE_ONEDNN=1```)

l329 OneDNN ?

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