Add Intel oneAPI toolkits to GitHub actions.

ci.yml

name: CI

on:
  push:
    branches:
      - main
jobs:
  build:
    runs-on: ubuntu-latest
    steps:
      - uses: actions/checkout@v2

      - name: add oneAPI to apt
        shell: bash
        run: |
          cd /tmp
          wget https://apt.repos.intel.com/intel-gpg-keys/GPG-PUB-KEY-INTEL-SW-PRODUCTS.PUB
          sudo apt-key add GPG-PUB-KEY-INTEL-SW-PRODUCTS.PUB
          rm GPG-PUB-KEY-INTEL-SW-PRODUCTS.PUB
          sudo add-apt-repository "deb https://apt.repos.intel.com/oneapi all main"
      
      - name: install oneAPI dpcpp compiler
        shell: bash
        run: |
          sudo apt update
          sudo apt install intel-oneapi-compiler-dpcpp-cpp
         
      - name: install oneAPI MKL library
        shell: bash
        run: |
          sudo apt install intel-oneapi-mkl-devel

      - name: configure
        shell: bash
        run: |
          source /opt/intel/oneapi/setvars.sh
          cmake -S . -B build \
          -DCMAKE_BUILD_TYPE="RelWithDebInfo" \
          -DCMAKE_INSTALL_PREFIX=install \
          -DCMAKE_CXX_COMPILER=dpcpp \
          -DCMAKE_C_COMPILER=icx \
          -DIntelDPCPP_DIR="/opt/intel/oneapi/compiler/latest/linux/cmake/SYCL" \
          -DMKL_ROOT="/opt/intel/oneapi/mkl/latest" \
          -DTBB_ROOT="/opt/intel/oneapi/tbb/latest"
      
      - name: build
        shell: bash
        run: |
          source /opt/intel/oneapi/setvars.sh
          cmake --build build

      - name: test
        shell: bash
        run: |
          source /opt/intel/oneapi/setvars.sh
          export SYCL_DEVICE_FILTER=opencl.cpu
          ctest --test-dir build --output-on-failure

CMakeLists.txt

enable_language(CXX)
set(CMAKE_CXX_STANDARD 17)
set(CMAKE_POSITION_INDEPENDENT_CODE ON)

list(APPEND CMAKE_MODULE_PATH "${IntelDPCPP_DIR}")
find_package(IntelDPCPP REQUIRED)

find_package(MKL REQUIRED)

First off, thanks for this I found it really helpful.
Secondly, are there similar instructions for Windows?

Unfortunately, am not familiar with using the oneAPI toolkits on Windows.
Recently I came across this repository of CI scripts for projects using oneAPI: https://github.com/oneapi-src/oneapi-ci

There is an example using Windows here:
https://github.com/oneapi-src/oneapi-ci/blob/ba5035fc01bd1bb7015fbb9c7a79975e1e5db6c3/.github/workflows/build_all.yml#L29

Hopefully this helps.
Cheers