Linking Intel MKL with Armadillo C++ Matrix Library - c++

Question

I have been having a number of issues with linking Intel MKL with Armadillo C++.
Im trying to do this on OSX.
I have installed Intel parallel_studio_xe_2016.3.068 as root so that its available across the whole system.
Here is my example code that I'm trying to run:
example.cpp
#include <iostream>
#include <armadillo>
using namespace std;
using namespace arma;
int main(int argc, const char * argv[]) {
// mkl_set_num_threads(4);
mat A = randu<mat>(1,2);
mat B = randu<mat>(2,1);
mat D;
double C = 0;
while (C == 0){
cout << A*B;
}
return 0;
}
I downloaded the armadillo 7.300.1 tar from sourceforge, unpacked it ran the following commands in terminal:
cd armadillo-7.300.1
cmake .
make
And then to compile my cpp file I used the link line advisor on intel site to get all the details I needed.
icpc -DMKL_ILP64 -qopenmp -I/opt/intel/mkl/include -I~/GithubRepos/PMIWork/armadillo-7.300.1/include -DARMA_DONT_USE_WRAPPER -L/opt/intel/mkl/lib -Wl,-rpath,/opt/intel/mkl/lib -lmkl_intel_ilp64 -lmkl_core -lmkl_intel_thread -lpthread -lm -ldl example.cpp -o example
However when I run the resulting executable I get a segmentation fault. If I remove the cout << then the code complies, runs but it only uses 1 single core. I thought that MKL is suppose to automatically scale to the whole CPU.
Would really appreciate any help with this.