The Intel MKL is free to use and download. Installed it into my home folder.
Intel provides linking recommendations for using with GNU C++.
To make it work I added the following into the file make/local
of CMDSTAN.
MKLROOT = /home/andre/intel/mkl
CXXFLAGS += -DEIGEN_USE_MKL_ALL -m64 -I${MKLROOT}/include
CXX14FLAGS += -DEIGEN_USE_MKL_ALL -m64 -I${MKLROOT}/include
LDLIBS += -Wl,--start-group ${MKLROOT}/lib/intel64/libmkl_intel_lp64.a ${MKLROOT}/lib/intel64/libmkl_sequential.a ${MKLROOT}/lib/intel64/libmkl_core.a -Wl,--end-group -lpthread -lm -ldl
If somebody likes to do the same. This worked on my system.