<p>How did you install Armadillo?<br>
Did you specify <code>ARMADILLO_INCLUDE_DIR</code> manually?</p>

<p>If you built Armadillo manually in, e.g., <code>/path/to/armadillo/</code>, then you must set <code>ARMADILLO_INCLUDE_DIR</code> to <code>/path/to/armadillo/tmp/include/</code> <strong><em>not</em></strong> <code>/path/to/armadillo/include/</code>.  Kind of a weird gotcha, but that's the way Armadillo is configured.  If you install Armadillo instead through your system's package manager, this should not be an issue.</p>

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