Drop RcppEigen dependency, implement basic Eigen -> C++ interop #1698

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Job	Run time
macOS-latest (devel)	44m 10s
macOS-latest (release)	46m 50s
windows-latest (devel)	1h 2m 25s
windows-latest (release)	1h 2m 21s
windows-latest (oldrel)	1h 2m 26s
ubuntu-20.04 (devel)	1h 2m 20s
ubuntu-20.04 (release)	1h 2m 19s
ubuntu-20.04 (oldrel)	1h 2m 21s
ubuntu-20.04 (3.6)	1h 2m 19s
	8h 47m 31s