build: add Eigen headers to project

external/Eigen/CMakeLists.txt

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+include(RegexUtils)
+test_escape_string_as_regex()
+
+file(GLOB Eigen_directory_files "*")
+
+escape_string_as_regex(ESCAPED_CMAKE_CURRENT_SOURCE_DIR "${CMAKE_CURRENT_SOURCE_DIR}")
+
+foreach(f ${Eigen_directory_files})
+  if(NOT f MATCHES "\\.txt" AND NOT f MATCHES "${ESCAPED_CMAKE_CURRENT_SOURCE_DIR}/[.].+" AND NOT f MATCHES "${ESCAPED_CMAKE_CURRENT_SOURCE_DIR}/src")
+    list(APPEND Eigen_directory_files_to_install ${f})
+  endif()
+endforeach(f ${Eigen_directory_files})
+
+install(FILES
+  ${Eigen_directory_files_to_install}
+  DESTINATION ${INCLUDE_INSTALL_DIR}/Eigen COMPONENT Devel
+  )
+
+install(DIRECTORY src DESTINATION ${INCLUDE_INSTALL_DIR}/Eigen COMPONENT Devel FILES_MATCHING PATTERN "*.h")

external/Eigen/Cholesky

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_CHOLESKY_MODULE_H
+#define EIGEN_CHOLESKY_MODULE_H
+
+#include "Core"
+#include "Jacobi"
+
+#include "src/Core/util/DisableStupidWarnings.h"
+
+/** \defgroup Cholesky_Module Cholesky module
+  *
+  *
+  *
+  * This module provides two variants of the Cholesky decomposition for selfadjoint (hermitian) matrices.
+  * Those decompositions are also accessible via the following methods:
+  *  - MatrixBase::llt()
+  *  - MatrixBase::ldlt()
+  *  - SelfAdjointView::llt()
+  *  - SelfAdjointView::ldlt()
+  *
+  * \code
+  * #include <Eigen/Cholesky>
+  * \endcode
+  */
+
+#include "src/Cholesky/LLT.h"
+#include "src/Cholesky/LDLT.h"
+#ifdef EIGEN_USE_LAPACKE
+#ifdef EIGEN_USE_MKL
+#include "mkl_lapacke.h"
+#else
+#include "src/misc/lapacke.h"
+#endif
+#include "src/Cholesky/LLT_LAPACKE.h"
+#endif
+
+#include "src/Core/util/ReenableStupidWarnings.h"
+
+#endif // EIGEN_CHOLESKY_MODULE_H
+/* vim: set filetype=cpp et sw=2 ts=2 ai: */

external/Eigen/CholmodSupport

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_CHOLMODSUPPORT_MODULE_H
+#define EIGEN_CHOLMODSUPPORT_MODULE_H
+
+#include "SparseCore"
+
+#include "src/Core/util/DisableStupidWarnings.h"
+
+extern "C" {
+  #include <cholmod.h>
+}
+
+/** \ingroup Support_modules
+  * \defgroup CholmodSupport_Module CholmodSupport module
+  *
+  * This module provides an interface to the Cholmod library which is part of the <a href="http://www.suitesparse.com">suitesparse</a> package.
+  * It provides the two following main factorization classes:
+  * - class CholmodSupernodalLLT: a supernodal LLT Cholesky factorization.
+  * - class CholmodDecomposiiton: a general L(D)LT Cholesky factorization with automatic or explicit runtime selection of the underlying factorization method (supernodal or simplicial).
+  *
+  * For the sake of completeness, this module also propose the two following classes:
+  * - class CholmodSimplicialLLT
+  * - class CholmodSimplicialLDLT
+  * Note that these classes does not bring any particular advantage compared to the built-in
+  * SimplicialLLT and SimplicialLDLT factorization classes.
+  *
+  * \code
+  * #include <Eigen/CholmodSupport>
+  * \endcode
+  *
+  * In order to use this module, the cholmod headers must be accessible from the include paths, and your binary must be linked to the cholmod library and its dependencies.
+  * The dependencies depend on how cholmod has been compiled.
+  * For a cmake based project, you can use our FindCholmod.cmake module to help you in this task.
+  *
+  */
+
+#include "src/CholmodSupport/CholmodSupport.h"
+
+#include "src/Core/util/ReenableStupidWarnings.h"
+
+#endif // EIGEN_CHOLMODSUPPORT_MODULE_H
+