ENH: disable OpenBLAS affinity settings

OpenBLAS starts as many threads as it can and assigns them to cpus
This includes the main thread Python is running in.
This means any threads or processes Python starts must all share this
cpu, nullifying any parallization efforts.
Luckily this behaviour can be disabled via an environment variable which
we need to set before loading dotblas which may be linked to OpenBLAS.
Libraries loading BLAS before numpy are stills screwed.
BUG: Fix memory leak.

Patch is from Julian Taylor. Closes #4652.
Merge pull request #4654 from charris/fix-memory-leak-gh-4652

BUG: Fix memory leak.
Merge pull request #4580 from juliantaylor/openblas-affinity

ENH: disable OpenBLAS affinity settings