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I solved this problem by doing the following:

  1. Download this file: http://bitbucket.org/eigen/eigen/get/3.2.2.tar.gz
  2. cd into ~/Downloads
  3. Extract the zip file with tar xvzf eigen-eigen-1306d75b4a21.tar.gz
  4. Copy the files to the correct location with sudo cp -r eigen-eigen-1306d75b4a21/ /usr/include/eigen3

I believe what I tried before didn't work because I copied the files incorrectly.