Study a linux standard Cmake file: CMakeLists.txt

cmake_minimum_required(VERSION 2.8.4)
project(kalman)

set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -std=c++11")

find_package(Eigen3 REQUIRED)
include_directories(${EIGEN3_INCLUDE_DIR})

set(SOURCE_FILES kalman.cpp kalman-test.cpp)
add_executable(kalman-test ${SOURCE_FILES})

Note: You may have to specify the path to your Eigenlibrary in CMakeLists.txt.

cd kalman-cpp
mkdir build
cd build
cmake ..
make
./kalman-test

I change in VSCode-> Preference -> Setting -> C/C++ -> editing settings in json->
"C_Cpp.default.includePath"
from [] to

"C_Cpp.default.includePath": [
        "/usr/local/include",
        "/usr/local/include/eigen3"
    ],

When installing osqp-eigen:

export OsqpEigen_DIR=/path/where/you/installed/

Notice: The choice of OsqpEigen_DIRname for the environment variable is not random. Indeed <package>_DIRis one of the search paths of find_package().

CMakeList:

cmake_minimum_required(VERSION 3.1)
set (CMAKE_CXX_STANDARD 11)
project(OsqpEigen-Example)

find_package(OsqpEigen)
find_package(Eigen3)

include_directories(SYSTEM ${EIGEN3_INCLUDE_DIR})

#MPCExample
add_executable(MPCExample src/MPCExample.cpp)
target_link_libraries(MPCExample OsqpEigen::OsqpEigen)