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The library header files are installed in their own gsl directory. You should write any preprocessor include statements with a gsl/ directory prefix thus,
#include <gsl/gsl_math.h>
If the directory is not installed on the standard search path of your
compiler you will also need to provide its location to the preprocessor
as a command line flag. The default location of the gsl
directory is /usr/local/include/gsl. A typical compilation
command for a source file example.c with the GNU C compiler
gcc is,
$ gcc -Wall -I/usr/local/include -c example.c
This results in an object file example.o. The default
include path for gcc searches /usr/local/include automatically so
the -I option can actually be omitted when GSL is installed
in its default location.