/[ascend]/trunk/solvers/ipopt/asc_ipopt.c
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revision 1529 by jpye, Thu Jul 5 08:19:02 2007 UTC revision 1530 by jpye, Thu Jul 5 14:43:47 2007 UTC
# Line 22  Line 22 
22      THIS IS STILL VERY MUCH UNDER DEVELOPMENT AND INCOMPLETE. I'VE ACTUALLY      THIS IS STILL VERY MUCH UNDER DEVELOPMENT AND INCOMPLETE. I'VE ACTUALLY
23      ONLY JUST STARTED WRITING IT by starting with asc_tron.c and modifying.      ONLY JUST STARTED WRITING IT by starting with asc_tron.c and modifying.
24    
25      The IPOPT solver is documented at http://www.coin-or.org/Ipopt/      The IPOPT solver is documented at http://projects.coin-or.org/Ipopt/
26  *//*  *//*
27      ASCEND wrapper for IPOPT originally by John Pye, Jun 2007.      ASCEND wrapper for IPOPT originally by John Pye, Jun 2007.
28  */  */
# Line 35  Line 35 
35    
36  #include <solver/solver.h>  #include <solver/solver.h>
37    
38    #include <system/calc.h>
39    #include <system/relman.h>
40    #include <system/slv_stdcalls.h>
41    #include <system/block.h>
42    
43    #include <utilities/ascConfig.h>
44    #include <utilities/ascPanic.h>
45    #include <utilities/ascMalloc.h>
46    #include <utilities/ascDynaLoad.h>
47    #include <utilities/mem.h>
48    #include <utilities/ascEnvVar.h>
49    #include <general/tm_time.h>
50    #include <general/env.h>
51    
52  #include <ipopt/IpStdCInterface.h>  #include <ipopt/IpStdCInterface.h>
53    
54  ASC_DLLSPEC SolverRegisterFn ipopt_register;  ASC_DLLSPEC SolverRegisterFn ipopt_register;
55    
56    /*------------------------------------------------------------------------------
57      DATA STRUCTURES AND FORWARD DEFS
58    */
59    
60    /**
61        Documentation of solver options for IPOPT is at
62        http://www.coin-or.org/Ipopt/documentation/node1.html
63    */
64    enum{
65        IPOPT_PARAM_TOL
66        ,IPOPT_PARAM_MAX_ITER
67        ,IPOPT_PARAM_SAFECALC
68        ,IPOPT_PARAM_MU_STRATEGY
69        ,IPOPT_PARAMS
70    };
71    
72    #define SYS(s) ((IpoptSystem *)(s))
73    
74    struct IpoptSystemStruct{
75    
76        /*
77            Problem definition
78        */
79        slv_system_t                slv;     /* slv_system_t back-link */
80        struct rel_relation         *obj;    /* Objective function: NULL = none */
81        struct rel_relation         *old_obj;/* Objective function: NULL = none */
82        struct var_variable         **vlist; /* Variable list (NULL terminated) */
83        struct rel_relation         **rlist; /* Relation list (NULL terminated) */
84    
85        /*
86            Solver information
87        */
88        int32                  presolved;    /* ? Has the system been presolved */
89        int32                  resolve;      /* ? Has the system been resolved */
90        slv_parameters_t       p;            /* Parameters */
91        slv_status_t           s;            /* Status (as of iteration end) */
92    
93        int32                  cap;          /* Order of matrix/vectors */
94        int32                  rank;         /* Symbolic rank of problem */
95        int32                  vused;        /* Free and incident variables */
96        int32                  vtot;         /* length of varlist */
97        int32                  rused;        /* Included relations */
98        int32                  rtot;         /* length of rellist */
99        double                 clock;        /* CPU time */
100    
101        void *parm_array[IPOPT_PARAMS];
102        struct slv_parameter pa[IPOPT_PARAMS];
103    
104        /*
105            IPOPT DATA
106        */
107        Index n;                          /* number of variables */
108        Index m;                          /* number of constraints */
109    
110        int nnzJ; /* number of non zeros in the jacobian of the constraints */
111    
112        Number* x_L;                  /* lower bounds on x */
113        Number* x_U;                  /* upper bounds on x */
114        Number* g_L;                  /* lower bounds on g */
115        Number* g_U;                  /* upper bounds on g */
116    
117        IpoptProblem nlp;             /* IpoptProblem */
118    
119        enum ApplicationReturnStatus status; /* Solve return code */
120        Number* x;                    /* starting point and solution vector */
121        Number* mult_x_L;             /* lower bound multipliers at the solution */
122        Number* mult_x_U;             /* upper bound multipliers at the solution */
123        Number objval;                /* objective value */
124        Index i;                      /* generic counter */
125    };
126    
127    typedef struct IpoptSystemStruct IpoptSystem;
128    
129    static int ipopt_get_default_parameters(slv_system_t server, SlvClientToken asys, slv_parameters_t *parameters);
130    
131    /*------------------------------------------------------------------------------
132      SYSTEM SETUP/DESTROY AND SOLVER ELIGIBILITY
133    */
134    
135    static SlvClientToken ipopt_create(slv_system_t server, int32*statusindex){
136        IpoptSystem *sys;
137    
138        sys = ASC_NEW_CLEAR(IpoptSystem);
139        if(sys==NULL){
140            *statusindex = 1;
141            return sys;
142        }
143    
144        sys->p.parms = sys->pa;
145        sys->p.dynamic_parms = 0;
146        ipopt_get_default_parameters(server,(SlvClientToken)sys,&(sys->p));
147        sys->p.whose = (*statusindex);
148    
149        sys->presolved = 0;
150        sys->resolve = 0;
151    
152        sys->n = -1;
153        sys->m = -1;
154    
155        sys->s.ok = TRUE;
156        sys->s.calc_ok = TRUE;
157        sys->s.costsize = 0;
158        sys->s.cost = NULL; /*redundant, but sanity preserving */
159    
160        sys->vlist = slv_get_solvers_var_list(server);
161        sys->rlist = slv_get_solvers_rel_list(server);
162        sys->obj = slv_get_obj_relation(server);
163        if(sys->vlist == NULL) {
164            ASC_FREE(sys);
165            ERROR_REPORTER_HERE(ASC_PROG_ERR,"IPOPT called with no variables.");
166            *statusindex = -2;
167            return NULL;
168        }
169        if(sys->rlist == NULL && sys->obj == NULL) {
170            ASC_FREE(sys);
171            ERROR_REPORTER_HERE(ASC_PROG_ERR,"IPOPT called with no relations or objective.");
172            *statusindex = -1;
173            return NULL;
174        }
175        
176        /* do nothing with the objective list, pars, bounds, extrels, etc etc */
177    
178        slv_check_var_initialization(server);
179        *statusindex = 0;
180        return((SlvClientToken)sys);
181    }
182    
183    static int32 ipopt_destroy(slv_system_t server, SlvClientToken asys){
184        UNUSED_PARAMETER(server);
185        ERROR_REPORTER_HERE(ASC_PROG_ERR,"Not implemented");
186        return 1;
187    }  
188    
189    static int32 ipopt_eligible_solver(slv_system_t server){
190        UNUSED_PARAMETER(server);
191        ERROR_REPORTER_HERE(ASC_PROG_ERR,"Not implemented");
192        return 1;
193    }
194    
195    /*------------------------------------------------------------------------------
196      SOLVER PARAMETERS
197    */
198    
199    static
200    int32 ipopt_get_default_parameters(slv_system_t server, SlvClientToken asys
201            ,slv_parameters_t *parameters
202    ){
203        IpoptSystem *sys = NULL;
204        struct slv_parameter *new_parms = NULL;
205        int32 make_macros = 0;
206    
207        if(server != NULL && asys != NULL) {
208            sys = SYS(asys);
209            make_macros = 1;
210        }
211    
212        if(parameters->parms == NULL) {
213            new_parms = ASC_NEW_ARRAY_OR_NULL(struct slv_parameter,IPOPT_PARAMS);
214            if(new_parms == NULL) {
215                return -1;
216            }
217            parameters->parms = new_parms;
218            parameters->dynamic_parms = 1;
219        }
220    
221        parameters->num_parms = 0;
222    
223        slv_param_int(parameters,IPOPT_PARAM_MAX_ITER
224            ,(SlvParameterInitInt){{"max_iter"
225                ,"Maximum number of iterations",2
226                ,"The algorithm terminates with an error message if the number of iterations exceeded this number."
227            }, 3000, 0, 100000000}
228        );
229    
230        slv_param_real(parameters,IPOPT_PARAM_TOL
231            ,(SlvParameterInitReal){{"tol"
232                ,"Desired convergence tolerance (relative)",2
233                ,"Determines the convergence tolerance for the algorithm. The algorithm"
234                " terminates successfully, if the (scaled) NLP error becomes smaller"
235                " than this value, and if the (absolute) criteria according to "
236                " 'dual_inf_tol', 'primal_inf_tol', and 'cmpl_inf_tol' are met. (This"
237                " is epsilon_tol in Eqn. (6) in implementation paper). See also "
238                " 'acceptable_tol' as a second termination criterion. Note, some other"
239                " algorithmic features also use this quantity to determine thresholds"
240                " etc."
241            }, 1e-8, 0, 1e20}
242        );
243    
244        slv_param_char(parameters,IPOPT_PARAM_MU_STRATEGY
245            ,(SlvParameterInitChar){{"mu_strategy"
246                ,"Update strategy for barrier parameter",6
247                ,"Determines which barrier parameter update strategy is to be used."
248                " 'MONOTONE' is the monotone (Fiacco-McCormick) strategy;"
249                " 'ADAPTIVE' is the adaptive update strategy."
250            }, "MONOTONE"}, (char *[]){
251                "MONOTONE","ADAPTIVE",NULL
252            }
253        );
254    
255        asc_assert(parameters->num_parms==IPOPT_PARAMS);
256    
257        return 1;
258    }
259    
260    static void ipopt_get_parameters(slv_system_t server, SlvClientToken asys
261            , slv_parameters_t *parameters
262    ){
263        IpoptSystem *sys;
264        UNUSED_PARAMETER(server);
265    
266        sys = SYS(asys);
267        //if(check_system(sys)) return;
268        mem_copy_cast(&(sys->p),parameters,sizeof(slv_parameters_t));
269    }
270    
271    
272    static void ipopt_set_parameters(slv_system_t server, SlvClientToken asys
273            ,slv_parameters_t *parameters
274    ){
275        IpoptSystem *sys;
276        UNUSED_PARAMETER(server);
277    
278        sys = SYS(asys);
279        //if (check_system(sys)) return;
280        mem_copy_cast(parameters,&(sys->p),sizeof(slv_parameters_t));
281    }
282    
283    /*------------------------------------------------------------------------------
284      EVALUATION FUNCTIONS
285    */
286    
287    /**
288        update the model with new 'x' vector.
289        @return 0 on success.
290    */
291    int ipopt_update_model(IpoptSystem *sys, const double *x){
292        ERROR_REPORTER_HERE(ASC_PROG_ERR,"Not implemented");
293        return 1; /* error */
294    }
295    
296    /** Function to evaluate the objective function f(x).
297        @return 1 on success, 0 on failure
298    
299        @param n (in), the number of variables in the problem (dimension of 'x').
300        @param x (in), the values for the primal variables, 'x' , at which 'f(x)' is to be evaluated.
301        @param new_x (in), false if any evaluation method was previously called with the same values in 'x', true otherwise.
302        @param obj_value (out) the value of the objective function ('f(x)').
303    */
304    Bool ipopt_eval_f(Index n, Number *x, Bool new_x,  Number *obj_value, void *user_data){
305        IpoptSystem *sys;
306        sys = SYS(user_data);
307        int res;
308    
309        asc_assert(n==sys->n);
310    
311        if(new_x){
312            res = ipopt_update_model(sys,x);
313            if(res)return 0; /* fail model update */
314        }
315    
316    
317        double val = 0;
318        /* evaluate f(x) somehow */
319    
320        *obj_value = val;
321    
322        return 0; /* fail: not yet implemented */
323    }
324    
325    Bool ipopt_eval_grad_f(Index n, Number* x, Bool new_x, Number* grad_f, void *user_data){
326        IpoptSystem *sys;
327        sys = SYS(user_data);
328        int j, res;
329    
330        asc_assert(n==sys->n);
331    
332        if(new_x){
333            res = ipopt_update_model(sys,x);
334            if(res)return 0; /* fail model update */
335        }
336    
337    
338        /* evaluate grad_f(x) somehow */
339        for(j=0; j<n; ++j){
340            grad_f[j] = 0;
341        }
342    
343        return 0; /* fail: not yet implemented */
344    }
345    
346    Bool ipopt_eval_g(Index n, Number* x, Bool new_x, Index m, Number *g, void *user_data){
347        IpoptSystem *sys;
348        sys = SYS(user_data);
349        int i, res;
350    
351        asc_assert(n==sys->n);
352        asc_assert(m==sys->m);
353    
354        if(new_x){
355            res = ipopt_update_model(sys,x);
356            if(res)return 0; /* fail model update */
357        }
358    
359        for(i=0; i<m; ++i){
360            g[i] = 0;
361        }
362    
363        return 0; /* fail: not yet implemented */
364    }
365    
366    Bool ipopt_eval_jac_g(Index n, Number* x, Bool new_x, Index m
367            , Index nele_jac, Index* iRow, Index *jCol, Number* values
368            , void *user_data
369    ){
370        IpoptSystem *sys;
371        sys = SYS(user_data);
372        int i,j,res;
373    
374        asc_assert(n==sys->n);
375        asc_assert(nele_jac==sys->nnzJ);
376        asc_assert(m==sys->m);
377    
378        if(new_x){
379            res = ipopt_update_model(sys,x);
380            if(res)return 0; /* fail model update */
381        }
382    
383        /* loop through the constraints */
384        for(i=0; i<m; ++i){
385            /* get derivatives for constraint i */
386            /* insert the derivatives into the matrix in row i, columns j */
387        }
388    
389        return 0; /* fail: not yet implemented */
390    }
391    
392    Bool ipopt_eval_h(Index n, Number* x, Bool new_x
393            , Number obj_factor, Index m, Number* lambda
394            , Bool new_lambda, Index nele_hess, Index* iRow
395            , Index* jCol, Number* values
396    ){
397        /* not sure about this one yet: do all the 2nd deriv things work for this? */
398        return 0; /* fail: not yet implemented */
399    }
400    
401    /*------------------------------------------------------------------------------
402      SOLVE ROUTINES
403    */
404    
405    static int ipopt_solve(slv_system_t server, SlvClientToken asys){
406        IpoptSystem *sys;
407        UNUSED_PARAMETER(server);
408        int i;
409    
410        sys = SYS(asys);
411    
412        /* set the number of variables and allocate space for the bounds */
413        sys->x_L = ASC_NEW_ARRAY(Number,sys->n);
414        sys->x_U = ASC_NEW_ARRAY(Number,sys->n);
415    
416        /* set the values for the variable bounds */
417    
418  #if 0  #if 0
419  // sample code for the C interface  // sample code for the C interface
420    
421  int main(){  int main(){
   Index n=-1;                          /* number of variables */  
   Index m=-1;                          /* number of constraints */  
   Number* x_L = NULL;                  /* lower bounds on x */  
   Number* x_U = NULL;                  /* upper bounds on x */  
   Number* g_L = NULL;                  /* lower bounds on g */  
   Number* g_U = NULL;                  /* upper bounds on g */  
   IpoptProblem nlp = NULL;             /* IpoptProblem */  
   enum ApplicationReturnStatus status; /* Solve return code */  
   Number* x = NULL;                    /* starting point and solution vector */  
   Number* mult_x_L = NULL;             /* lower bound multipliers  
                       at the solution */  
   Number* mult_x_U = NULL;             /* upper bound multipliers  
                       at the solution */  
   Number obj;                          /* objective value */  
   Index i;                             /* generic counter */  
     
   /* set the number of variables and allocate space for the bounds */  
   n=4;  
   x_L = (Number*)malloc(sizeof(Number)*n);  
   x_U = (Number*)malloc(sizeof(Number)*n);  
   /* set the values for the variable bounds */  
   for (i=0; i<n; i++) {  
     x_L[i] = 1.0;  
     x_U[i] = 5.0;  
   }  
422    
423    /* set the number of constraints and allocate space for the bounds */    /* set the number of constraints and allocate space for the bounds */
424    m=2;    m=2;
# Line 135  int main(){ Line 486  int main(){
486  }  }
487  #endif  #endif
488    
489    
490        ERROR_REPORTER_HERE(ASC_PROG_ERR,"Not implemented");
491        return 1;
492    }
493    
494    static int ipopt_presolve(slv_system_t server, SlvClientToken asys){
495        IpoptSystem *sys;
496        struct var_variable **vp;
497        struct rel_relation **rp;
498        int cap, ind;
499        int matrix_creation_needed = 1;
500        int *cntvect, temp;
501    
502        CONSOLE_DEBUG("PRESOLVE");
503    
504        sys = SYS(asys);
505        //iteration_begins(sys);
506        //check_system(sys);
507    
508        asc_assert(sys->vlist && sys->rlist);
509    
510        sys->obj = slv_get_obj_relation(server); /*may have changed objective*/
511        if(!sys->obj){
512            ERROR_REPORTER_HERE(ASC_PROG_ERR,"No objective function was specified");
513            return -3;
514        }
515    
516    #if 0
517        if(sys->presolved > 0) { /* system has been presolved before */
518            if(!conopt_dof_changed(sys) /*no changes in fixed or included flags*/
519                    && sys->p.partition == sys->J.old_partition
520                    && sys->obj == sys->old_obj
521            ){
522                matrix_creation_needed = 0;
523                CONOPT_CONSOLE_DEBUG("YOU JUST AVOIDED MATRIX DESTRUCTION/CREATION");
524            }
525        }
526    #endif
527    
528    #if 0
529        // check all this...
530    
531        /* set all relations as being 'unsatisfied' to start with... */
532        rp=sys->rlist;
533        for( ind = 0; ind < sys->rtot; ++ind ) {
534            rel_set_satisfied(rp[ind],FALSE);
535        }
536    
537        if( matrix_creation_needed ) {
538    
539            cap = slv_get_num_solvers_rels(server);
540            sys->cap = slv_get_num_solvers_vars(server);
541            sys->cap = MAX(sys->cap,cap);
542            vp=sys->vlist;
543            for( ind = 0; ind < sys->vtot; ++ind ) {
544                var_set_in_block(vp[ind],FALSE);
545            }
546            rp=sys->rlist;
547            for( ind = 0; ind < sys->rtot; ++ind ) {
548                rel_set_in_block(rp[ind],FALSE);
549                /* rel_set_satisfied(rp[ind],FALSE); */
550            }
551    
552            sys->presolved = 1; /* full presolve recognized here */
553            sys->resolve = 0;   /* initialize resolve flag */
554    
555            /* provide nnz for jacobian matrix of constraints */
556    
557            /* provide sparsity structure for jacobian */
558    
559            /* provide nnz for hessian matrix */
560    
561            /* provide sparsity structure for hessian matrix */
562    
563            sys->J.old_partition = sys->p.partition;
564            sys->old_obj = sys->obj;
565    
566            slv_sort_rels_and_vars(server,&(sys->con.m),&(sys->con.n));
567            CONOPT_CONSOLE_DEBUG("FOUND %d CONSTRAINTS AND %d VARS",sys->con.m,sys->con.n);
568            if (sys->obj != NULL) {
569                CONOPT_CONSOLE_DEBUG("ADDING OBJECT AS A ROW");
570                sys->con.m++; /* treat objective as a row */
571            }
572    
573            cntvect = ASC_NEW_ARRAY(int,COIDEF_Size());
574            COIDEF_Ini(cntvect);
575            sys->con.cntvect = cntvect;
576            CONOPT_CONSOLE_DEBUG("NUMBER OF CONSTRAINTS = %d",sys->con.m);
577            COIDEF_NumVar(cntvect, &(sys->con.n));
578            COIDEF_NumCon(cntvect, &(sys->con.m));
579            sys->con.nz = num_jacobian_nonzeros(sys, &(sys->con.maxrow));
580            COIDEF_NumNZ(cntvect, &(sys->con.nz));
581            COIDEF_NumNlNz(cntvect, &(sys->con.nz));
582    
583            sys->con.base = 0;
584            COIDEF_Base(cntvect,&(sys->con.base));
585            COIDEF_ErrLim(cntvect, &(DOMLIM));
586            COIDEF_ItLim(cntvect, &(ITER_LIMIT));
587    
588            if(sys->obj!=NULL){
589                sys->con.optdir = relman_obj_direction(sys->obj);
590                sys->con.objcon = sys->con.m - 1; /* objective will be last row */
591                CONOPT_CONSOLE_DEBUG("SETTING OBJECTIVE CONSTRAINT TO BE %d",sys->con.objcon);
592            }else{
593                sys->con.optdir = 0;
594                sys->con.objcon = 0;
595            }
596            COIDEF_OptDir(cntvect, &(sys->con.optdir));
597            COIDEF_ObjCon(cntvect, &(sys->con.objcon));
598    
599            temp = 0;
600            COIDEF_StdOut(cntvect, &temp);
601    
602            COIDEF_ReadMatrix(cntvect, &conopt_readmatrix);
603            COIDEF_FDEval(cntvect, &conopt_fdeval);
604            COIDEF_Option(cntvect, &conopt_option);
605            COIDEF_Solution(cntvect, &conopt_solution);
606            COIDEF_Status(cntvect, &conopt_status);
607            COIDEF_Message(cntvect, &asc_conopt_message);
608            COIDEF_ErrMsg(cntvect, &conopt_errmsg);
609            COIDEF_Progress(cntvect, &asc_conopt_progress);
610    
611            int debugfv = 1;
612            COIDEF_DebugFV(cntvect, &debugfv);
613    
614            destroy_vectors(sys);
615            destroy_matrices(sys);
616            create_matrices(server,sys);
617            create_vectors(sys);
618    
619            sys->s.block.current_reordered_block = -2;
620        }
621    
622        /* Reset status */
623        sys->con.optimized = 0;
624        sys->s.iteration = 0;
625        sys->s.cpu_elapsed = 0.0;
626        sys->s.converged = sys->s.diverged = sys->s.inconsistent = FALSE;
627        sys->s.block.previous_total_size = 0;
628        sys->s.costsize = 1+sys->s.block.number_of;
629    
630        if( matrix_creation_needed ) {
631            destroy_array(sys->s.cost);
632            sys->s.cost = create_zero_array(sys->s.costsize,struct slv_block_cost);
633            for( ind = 0; ind < sys->s.costsize; ++ind ) {
634                sys->s.cost[ind].reorder_method = -1;
635            }
636        } else {
637            reset_cost(sys->s.cost,sys->s.costsize);
638        }
639    
640        /* set to go to first unconverged block */
641        sys->s.block.current_block = -1;
642        sys->s.block.current_size = 0;
643        sys->s.calc_ok = TRUE;
644        sys->s.block.iteration = 0;
645        sys->objective =  MAXDOUBLE/2000.0;
646    
647        update_status(sys);
648        iteration_ends(sys);
649        sys->s.cost[sys->s.block.number_of].time=sys->s.cpu_elapsed;
650    #endif
651    
652        return 0;
653    }
654    
655    static int ipopt_iterate(slv_system_t server, SlvClientToken asys){
656        UNUSED_PARAMETER(server);
657        ERROR_REPORTER_HERE(ASC_PROG_ERR,"Not implemented");
658        return 1;
659    }
660    
661    static int ipopt_resolve(slv_system_t server, SlvClientToken asys){
662        UNUSED_PARAMETER(server);
663    
664        /* if implementing this, use the 'warm start' thing in IPOPT */
665    
666        /* provide initial values of the 'multipliers' */
667    
668        ERROR_REPORTER_HERE(ASC_PROG_ERR,"Not implemented");
669        return 1;
670    }
671    
672    static const SlvFunctionsT ipopt_internals = {
673        67
674        ,"IPOPT"
675        ,ipopt_create
676        ,ipopt_destroy
677        ,ipopt_eligible_solver
678        ,ipopt_get_default_parameters
679        ,ipopt_get_parameters
680        ,ipopt_set_parameters
681        ,NULL
682        ,ipopt_solve
683        ,ipopt_presolve
684        ,ipopt_iterate
685        ,ipopt_resolve
686        ,NULL
687        ,NULL
688        ,NULL
689    };
690    
691  int ipopt_register(void){  int ipopt_register(void){
692      ERROR_REPORTER_HERE(ASC_PROG_ERR,"Failed to load IPOPT");      ERROR_REPORTER_HERE(ASC_PROG_ERR,"Failed to load IPOPT");
693      return 1;      return 1;

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john.pye@anu.edu.au
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