GSL is an advance C/C++ library that is widely used. To install GSL, you can download the source file and following instruction in the included README and INSTALL document. For Unix/Linux users, the GSL library is often availabe in the repository. For example, you can use the following command to install the GSL library in Debian.

wajig install libgsl0-dev

This will install the GSL library to the default location, so that you do not have specify the -I and -L options for the GSL library. However, you still have to use the option -lgsl and -lgslcblas (can be replaced by other available BLAS libraries) in order to compile your code using GSL.