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Can you please give more detail on your error report, like which OS you are using, which version of Eigen, which file in the Examples repository you are trying to compile, etc.
I believe you have to do something to the effect of 'apt-get install suitesparse' to allow Eigen to use UmfPack. If you'd like to check this requirement at CMake time, I'd be happy to accept a pull request!
error: ‘UmfPack’ is not a member of ‘Eigen’
Eigen::SparseLU<Eigen::SparseMatrix, Eigen::UmfPack> lu_of_A(AtA);
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