I am new to ROS. Could someone tell me how to install the frontier exploration package ?

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You need the executable of the package frontier_exploration. You have two options, actually: 1) You can download the executable of the package for Ubuntu OS using the following command

sudo apt-get install ros-indigo-frontier-exploration

assuming that you have Indigo and Ubuntu. 2) You can clone the repository and get the source codes. To generate the executable, you need to compile the source codes, as usual. You should place that package in your workspace and run catkin_make to build the packages in your workspace.