Consider interactions between vcomp and libomp on Windows with BLIS?

[ogrisel]

Apparently, it's possible to get BLIS to work on windows when built with Clang/LLVM:

numpy/numpy#7372 (comment)

Which means that if we have Cython extension built with MSVC calling into BLIS built with Clang/LLVM we will possibly get a new type of OpenMP nesting...

This case would be possible in scikit-learn for the new Cython K-Means calling into the BLAS API scipy-blis, shall scipy use BLIS in the future (which is considered on their roadmap).

[ogrisel]

For practicalities, it should be quite easy to install clang under Windows using the conda-forge channel, e.g. one of the following packages:

https://anaconda.org/conda-forge/clang
https://anaconda.org/conda-forge/clangdev

[ogrisel]

Also we should check that there is no bad interactions between Clang/LLVM OpenMP and Intel OpenMP (e.g. from numpy from the default conda channel linked with MKL) on Windows as we observed on Linux.