You should read it if you want to understand the background.
Solution 1 (Windows): Create a .bat file using e.g. "Notepad" with the following lines to start Matlab in AVX2 Mode.
call "%MKLROOT%\bin\mklvars.bat" MKL_DEBUG_CPU_TYPE=5
Save as .txt and rename to .bat. If you double-click that file, Matlab will start the MKL in AVX2 Mode. If you start it the normal way, it will remain as always.
You can also download the .bat file from my highdrive if you trust me (which typically you should not as I am a random guy from the internet). If you delete the startup batch file provided in the download or the one you created yourself, its gone and your computer will be as it has been before.
Solution 2 (Windows): If you are happy with the results (which you surely will be :-)), you should make the setting permanent by entering MKL_DEBUG_CPU_TYPE=5 into the System Environment Variables. This has several advantages, one of them being that it applies to all instances of Matlab and not just the one opened using the .bat file.
Doing this will make the change permanent and available to ALL Programs using the MKL on your system until you delete the entry again.
LINUX: (Thanks to foreignrobot)
Simply type in a terminal:
and then run matlab from the same terminal.
For benchmarking, you can use this script:
To make it permanent in Linux edit your shell's configuration scripts (~/.bashrc for bash, ~/.zshrc for zsh etc) adding the line export MKL_DEBUG_CPU_TYPE=5. That'll apply in any newly opened shell and to apply it in an already open one simply do . ~/.bashrc or whatever your config script name is. (Thanks to lowpolybutt)
P.S.: In case you are on an older AMD FX CPU, you could test whether MKL_DEBUG_CPU_TYPE=4 works for you. This should enable AVX, but I haven't tested this.