ref #70 (comment)

This package loads the shared objects from MKL by adding them as a relative path from where the shared objects of mkl-random will be found at runtime, but if packages are installed under different prefixes, it will not find the shared objects of MKL under those locations and will thus fail to import.

In that case, the user would need to manually set variable $LD_LIBRARY_PATH to point to where the MKL .so files live before launching the python process that will import mkl_random.

Would be ideal to document these kinds of details here.