Success is always a good feeling.

I have had Rtools installed for building packages for some time now.  So, this 
should be considered a pre-requisite. The resources I used long ago for this 
were this site:
http://www.biostat.wisc.edu/~kbroman/Rintro/Rwinpack.html
and the wonderful RcppPackage package.  This guides you to your own mypackage 
demonstration.

The Windows binary download for the GSL from the site referenced below is 
indeed compiled with MinGW, so it is quite appropriate for use with RcppGSL on 
Windows:

http://gnuwin32.sourceforge.net/packages/gsl.htm

The Windows environment should have a variable named LIB_GSL to meet the 
convention used by CRAN for locating headers (and libraries?).  When you set 
this variable use the Linux type forward slash for directories, not the 
backward slash used by Windows.  My entry is LIB_GSL=C:/GnuWin32, it is the 
only Windows environment variable on my system with forward slash.

I use Rapid Environment Editor to facilitate Windows environment work.
http://www.rapidee.com/en/about

I'm not completely sure, but a Windows reboot is the best way to assure the 
next operation will actually see your changes to the environment.

Now, assure that the bin folder at the LIB_GSL location discussed above is on 
the PATH.  My initial success occurred when I placed copies of the libgsl.dll 
and libgslcblas.dll directly into the system32 folder for my Windows 
installation, but this method of placing items in this forgettable location is 
strongly un-advised.

So, in one Environment Editor session both the LIB_GSL can be created and the 
PATH modified, if you are efficient.

That's it.  You should now be able to build the RcppGSLExample package.  This 
is contained in a folder in the source distribution for RcppGSL.  

You are off to the races.





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