Problems compiling in Windows with MinGW

[AlbertoCasasOrtiz]

When compiling in Windows using MinGW, the following errors appears:

error: undefined reference to `__security_check_cookie'
undefined reference to `__GSHandlerCheck'

Those errors are caused by Intel MKL using Microsoft libraries, not compatible with MinGW, so the application must be compiled using a Microsoft compiler.

Looks like we have to wait till MinGW supports those libraries.