g++ -o nn.o nn.cpp -std=c++11 -I ./
You need to include Eigen library with -I /path/to/Eigen/.
The way I have the repository set up Eigen is located in the top-level directory.
So you need to put -I ./ to include Eigen.
https://github.com/garyg1/Handwriting-Recognizer/wiki/The-Plan