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Add linking support of openmp for mlpack.  #8

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@toshal-a

While building mlboard, if mlpack is compiled with OpenMP support we receive a warning. That's because mlboard is not getting compiled with -fopenmp flag. So in order to fix it we need to link against OpenMP using CMake.
For more info on the issue, you can check the following comment written by @yashwants.
#6 (comment)

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