Add vcpkg mkl

[talregev]

Add vcpkg mkl. For windows and linux. intel stop support mkl for osx.
I change tests and other files because it had compilation errors on mkl with eigen3 v5.x, Similar errors we had with eigen3 v5.x PR.
I let the AI fix these errors. Please review these correction and verify that they are correct.

[dellaert]

Cool. Please merge in develop so we can run CI.

[talregev]

Cool. Please merge in develop so we can run CI.

I am always rebase to dev ;)

[dellaert]

I also noticed that vcpkg for windows takes forever. Anything that can be done about that?

[dellaert]

Looks good. Any comments on MKL and OpenMP performance?

[talregev]

I also noticed that vcpkg for windows takes forever. Anything that can be done about that?

I am not sure, maybe we should leave this PR for more people comments on it.
if it delays PRs we should think about it again.

[talregev]

Looks good. Any comments on MKL and OpenMP performance?

It should be faster on intel cpu. I never test it.
The ci is amd cpu

[talregev]

I also noticed that vcpkg for windows takes forever. Anything that can be done about that?

I can run it again after it finished without changes and see if the sccache helps reduce building time

[talregev]

I will put here the time:
windows: 2h 27m 11s
ubuntu 48m 58s
macos 2h 7m 1s

I am not sure also why macos is taking so long, because it don't compile mkl. The changes I did make this build time to increase?
How is the usually?

[talregev]

I will run it again to test the sccache

[talregev]

I will put the time here after run the CI without changes:
Windows: 42m 51s
Ubuntu: 52m 52s
Macos: 2h 6m 28s

If you approve it, it mean that it will take 2.5h for windows for every big change. Not sure how much is today.
I am not sure why it take 2h for macos. Is it like that in other PRs?
We can also activate sccache for macos in different PR.