Some Eigen's algorithms can exploit the multiple cores present in your hardware. To this end, it is enough to enable OpenMP on your compiler, for instance: GCC: -fopenmp. You can control the number of thread that will be used using either the OpenMP API or Eiegn's API using the following priority:

1. OMP_NUM_THREADS=n ./my_program
2. setNbThreads n

Unless setNbThreads has been called, Eigen uses the number of threads specified by OpenMP. You can restore this bahavior by calling setNbThreads n

Currently, the following algorithms can make use of multi-threading: general matrix - matrix products PartialPivLU.