Describe the issue linked to the documentation

On systems that have Intel compilers with OpenMP support (like icx and icpc), building scikit-learn from source fails with the following error.

ImportError: libomp.so: cannot open shared object file: No such file or directory

Suggest a potential alternative/fix

Building scikit-learn from source uses -fopenmp to compile with OpenMP. However, Intel compilers require -qopenmp option to compile OpenMP applications. See Intel OpenMP documentation here.

I was able to overcome the build failure by explicitly setting the CPPFLAGS environment variable as below.

export CPPFLAGS="$CPPFLAGS -qopenmp"

The documentation needs to direct users compiling with Intel compilers to set the environment variable before building from source.