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Anqi
follow this link to install mkl: https://www.intel.com/content/www/us/en/developer/articles/guide/installing-free-libraries-and-python-apt-repo.html (but should use this key: https://apt.repos.intel.com/intel-gpg-keys/GPG-PUB-KEY-INTEL-SW-PRODUCTS.PUB **NOT this key** GPG-PUB-KEY-INTEL-SW-PRODUCTS-2019.PUB) it works for me on WSL2