Why the thread controlling for MKL do not take effect from a mex function

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I'm trying to call the direct sparse solver provided by Intel MKL to solve a large linear sparse system. I need to set the threads for the pardiso domain.
In the mex function, the following code is written:
mkl_set_num_threads(1);
printf("Number of threads for mkl_PARDISO domain after calling mkl_set_num_threads is: %d\n", MKL_DOMAIN_PARDISO);
printf("Number of threads for mkl_BLAS domain after calling mkl_set_num_threads is: %d\n", MKL_DOMAIN_BLAS);
printf("Number of threads for mkl_FFT domain after calling mkl_set_num_threads is: %d\n", MKL_DOMAIN_FFT);
While the output is as follows:
Number of threads for mkl_PARDISO domain after calling mkl_set_num_threads is: 4
Number of threads for mkl_BLAS domain after calling mkl_set_num_threads is: 1
Number of threads for mkl_FFT domain after calling mkl_set_num_threads is: 2
What may cause this.

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