I am trying to compile some C code (called rand_beta) in terminal which contains the lines to include R.h and Rmath.h header files using gcc -o rand_beta rand_beta.c>
The other answers try to guess where your R installation directory is. But there is a more robust solution. Use the R.home command in R to find it wherever it is:
> R.home('include')
/usr/lib64/R/include
That is the folder containing R.h and Rmath.h on my system. Your folder may be in a different place.