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Slight modification to @Angus' answer as a more systematic, flexible approach:

- $ sudo apt-get install libgsl0-dev
+ $ rosdep install --from-paths src --ignore-src --rosdistro %YOUR_ROS_DISTRO% -r

This rosdep command installs all the missing system dependency (must be described in package.xml) in all the packages in your src directory.

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