Setting up ROS, where to put environment variable?

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You can put that kind of export in your ~/.bashrc (or ~/.zshrc if you use zsh). Thus it will be automatically exported when you open a shell.

Check this page for more information, as your problem is similar to having to run source /opt/ros/hydro/setup.bash for each new shell.

In your ~/.bashrc, you will probably end up having something like this (if you use hydro):

# ROS
source /opt/ros/hydro/setup.zsh
export ROS_PACKAGE_PATH=~/catkin_ws:$ROS_PACKAGE_PATH