test_omp_cv fails with MKL and AVX-512

In newly released scikit-learn 0.20.1 (and actually in 0.20.0) test_omp_cv case fails during running test suite. Any help appreciated!

_______________________________ test_omp_cv _______________________________

    def test_omp_cv():
        y_ = y[:, 0]
        gamma_ = gamma[:, 0]
        ompcv = OrthogonalMatchingPursuitCV(normalize=True, fit_intercept=False,
                                            max_iter=10, cv=5)
        ompcv.fit(X, y_)
>       assert_equal(ompcv.n_nonzero_coefs_, n_nonzero_coefs)

/usr/local/lib/python3.6/dist-packages/scikit_learn-0.20.1-py3.6-linux-x86_64.egg/sklearn/linear_model/tests/test_omp.py:209: 
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ 
/usr/lib/python3.6/unittest/case.py:829: in assertEqual
    assertion_func(first, second, msg=msg)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ 

self = <sklearn.utils._unittest_backport.TestCase testMethod=__init__>, first = 6, second = 5, msg = '6 != 5'

    def _baseAssertEqual(self, first, second, msg=None):
        """The default assertEqual implementation, not type specific."""
        if not first == second:
            standardMsg = '%s != %s' % _common_shorten_repr(first, second)
            msg = self._formatMessage(msg, standardMsg)
>           raise self.failureException(msg)
E           AssertionError: 6 != 5

/usr/lib/python3.6/unittest/case.py:822: AssertionError

Versions

System: python: 3.6.7 (default, Oct 22 2018, 11:32:17) [GCC 8.2.0] executable: /usr/bin/python3 machine: Linux-4.15.0-39-generic-x86_64-with-Ubuntu-18.04-bionic

BLAS: macros: SCIPY_MKL_H=None, HAVE_CBLAS=None lib_dirs: /opt/intel/mkl/lib/intel64 cblas_libs: mkl_rt, pthread

Python deps: pip: 18.1 setuptools: 40.6.2 sklearn: 0.20.1 numpy: 1.15.4 scipy: 1.1.0 Cython: 0.29 pandas: None

[h6197627]

@rth, I can confirm that the test is not failing anymore. Thanks for fixing it!

[cgohlke]

If it is helpful - I tried to test Windows build (with MKL) from https://www.lfd.uci.edu/~gohlke/pythonlibs on the same PC. OMP failure occurs as in Linux test

I can not reproduce this on my system. The test_omp tests pass.

I re-ran the tests on a Xeon W-2155 CPU with AVX-512 and could reproduce the issue.