[MXNET-13578] Fix cmake installation failed (#14692)

CMakeLists.txt

@@ -766,10 +766,16 @@ install(TARGETS ${MXNET_INSTALL_TARGETS}
 #       https://cmake.org/cmake/help/v3.0/variable/CMAKE_INSTALL_PREFIX.html
 #       https://cmake.org/cmake/help/v3.0/module/GNUInstallDirs.html
 
-install(DIRECTORY include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
-install(DIRECTORY 3rdparty/tvm/nnvm/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
+install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/dlpack/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
+install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/dmlc-core/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
+if(USE_MKLDNN)
+  install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/mkldnn/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
+endif()
+install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/mshadow/mshadow/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}/mshadow)
+install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/include/mxnet/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}/mxnet)
+install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/tvm/nnvm/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
 if (INSTALL_EXAMPLES)
-  install(DIRECTORY example  DESTINATION ${CMAKE_INSTALL_DATADIR}/${PROJECT_NAME})
+  install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/example  DESTINATION ${CMAKE_INSTALL_DATADIR}/${PROJECT_NAME})
 endif()
 
 if (USE_SIGNAL_HANDLER)