Improvements to CMake code needed

[derpda]

The cmake code for this library causes the exact same (very expensive) compilation to happen many times over when building examples.
Building anything with Eigen is already expensive, so I think it would be best to avoid this.

If there is no good reason for this then I would be happy to make some changes to the CMake code and submit a PR.
Currently there isn't actually a HODLR library, and changing that could drastically improve compilation time.

I am also trying to use HODLR in my own project, and several improvements to the CMake code could greatly improve the user experience.
Again, I would be happy to make some improvements in a PR if that is OK.