Fail to install mkl-random 1.1.1 via mkl-random 1.1.1 zip

[jellyfishovo]

Greetings,
i try to install mkl-random 1.1.1 via command"python setup.py install" while it reports:
fatal error: mkl.h: No such file or directory
#include "mkl.h"
^~~~~~~
compilation terminated.

what should i do to install this version
Thanks