I have the identical SPD matrix and rhs but got the different solution using mkl 11.2.1 on win vs 11.1.0 on linux.
on win
Major version: 11
Minor version: 2
Update version: 1
Product status: Product
Build: n20141023
Processor optimization: Intel(R) Streaming SIMD Extensions 4.2 (Intel(R) SSE4.2) enabled processors
on linux
Major version: 11
Minor version: 1
Update version: 0
Product status: Product
Build: n20130711
Processor optimization: Intel(R) Advanced Vector Extensions (Intel(R) AVX) Enabled Processor
A related question: we want to use intel 15.0. It seems we must use mkl11.2. Is that true?