Are there any routines in Eigen to directly initialize a sparse matrix given CSR data? The closet thing I could find is to assign a mapped sparse matrix to a sparse matrix. The mapped sparse matrix doesn't appear to be documented -- will support for this go away, or is it a feature I can rely on?

In Eigen 3.2, MappedSparseMatrix is right way to go. In the devel branch (Eigen 3.3 and later), it is replaced by a more general Map<SparseMatrix>, but the old MappedSparseMatrix will still be available throughout the Eigen 3 lifetime.