fatal error: Eigen/Dense: No such file or directory

Question 1

Run your compiler with the --verbose switch:

g++ --verbose ...

If your includes are relative to one of the paths shown in this output, you don't have to use -I. It depends how gcc has been configured, and it depends where that other stuff is installed.

Note that . is typically not in the -I paths.

Later

After exchanging a couple of comments it is clear that /usr/include/eigen3/Eigen/Dense should be include-able by #include <Eigen/Dense>, but not by #include <eigen3/Eigen/Dense>. Therefore, the addition of the command line option -I /usr/include/eigen3 is mandatory.

Whether some installation selects to install header files into a directory that in one of the ones compiled into gcc, depends on the default, a decision made by the distributor, or a decision made during installation. I'd say that "frequently used" header files (Boost) are well placed into /usr/local/include while some "elitist" stuff would be better off in a directory of its own.

Question 2

I had this same problem on my Ubuntu 14 box. Ended up creating symlinks to get around it. With eigen3 installed in /usr/local/include do the following:

cd /usr/local/include
sudo ln -sf eigen3/Eigen Eigen
sudo ln -sf eigen3/unsupported unsupported

You should now be able to include the headers by:

#include <Eigen/Dense>
#include <unsupported/Eigen/FFT>

Question 3

Change

#include <Eigen/Dense>

to

#include <eigen3/Eigen/Dense>

Question 4

Should use the following:

#if defined __GNUC__ || defined __APPLE__
#include <Eigen/Dense>
#else
#include <eigen3/Eigen/Dense>
#endif

Question 5

This worked for me (using Macports for installing Shogun on Mac OS 10.11):

cd ${macports_prefix}/include
sudo ln -sf eigen3/Eigen Eigen
sudo ln -sf eigen3/unsupported unsupported

Question 6

If you are working on a Linux server, and you have to install Eigen to a local directory, you can try to solve the problem by following the steps:

Download, install, and extract Eigen source code from the official website.
Copy the Eigen folder to a directory where your local lib is. In my case, I downloaded, unzipped and install eigen-3.4.0, and then I copied the entire folder Eigen in /eigen-3.4.0/Eigen/ to my local include /anywhere/include/Eigen.
Add this path when you run g++ -g yourcode.cpp -I /anywhere/include -L /anywhere/lib'

Question 7

I'm using Ubuntu 22.04, with Eigen installed by

sudo apt install libeigen3-dev

according to the above method (the answer from scottlittle), I link the Eigen to /usr/include by

cd ~/usr/include
sudo ln -sf eigen3/Eigen Eigen
sudo ln -sf eigen3/unsupported unsupported

After this step, I can use

#include <Eigen/Dense>

instead of

#include <eigen3/Eigen/Dense>

Question 8

You can add this in your CMakeLists.txt

set(EIGEN3_DIR /usr/include/eigen3)

...

include_directories(${EIGEN3_DIR})

Question 9

If you follow the getting started instructions at the main Eigen site then you can't go far wrong.

To surmise, download then extract the Eigen source code into a directory of choice. Next copy the "Eigen" directory into /usr/local/include/. NOTE this is the directory named "Eigen" WITHIN the directory structure extracted, NOT the entire directory structure itself. It worked for me on an Ubuntu 14.04 virtual machine.