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AN INTRODUCTION TO

EMPIRICAL MODE DECOMPOSITION

By
Harikrishna satish.T
M.E. Electrical engg,
Jadavpur university.

1
Empirical mode decomposition

Method for processing non stationary signals and


signals produced by nonlinear processes and
Decomposition of the signal into a set of Intrinsic Mode
Functions (IMF) which are defined as

1. In the whole set of data, the numbers of local extrema


and the numbers of zero crossings must be equal or
differ by 1 at most.
2. At any time point, the mean value of the “upper
envelope” (defined by the local Maxima) and the “lower
envelope” (defined by the local minima) must be zero.

2
Why Empirical Mode Decomposition?

The simplest model for a signal is given by circular functions of


the type

(Type I)
Such “Fourier modes” are of particular interest in the case of
stationary signals and linear systems.

3
However, many physical situations are known to undergo non
stationary and/or nonlinear behaviors.

we can think of representing these signals in terms of


amplitude and frequency modulated (AM–FM) components

(Type II)
The rationale for such a modeling is to compactly encode possible
non stationarities in a time variation of the amplitudes and
frequencies of Fourier-like modes.
4
More generally,
signals may also be generated by nonlinear systems for
which oscillations are not necessarily associated with
circular functions,
thus suggesting decompositions of the following form

(Type III)
Each of the components has to have physical and mathematical
meaning. 5
Empirical Mode Decomposition (EMD) is designed primarily
for obtaining representations of Type II or Type III
in the case of signals which are oscillatory, possibly non
stationary or generated by a nonlinear system, in some
automatic, fully data-driven way.

6
Main differences between EMD and
traditional data analysis methods

Stationary Non-stationary Linear Non-linear Theory


Fourier
Wavelets
Time-series
EMD

Traditional methods EMD


- Not appropriate for nonlinear & - Adequate for both nonlinear &
non stationary signals. non stationary.
- Predefined basis and/or system - Adaptive – data driven basis.
model. - Preserves physical meaning.
- Distorted information extracted. - Sharper spectrum
- Full theoretical basis. - Lack of theoretical analysis.

7
Basic Parts of the Empirical Mode
Decomposition

• Interpolation technique (cubic spline).

• Sifting process to extract and identify intrinsic


modes.

• Numerical convergence criteria (mainly to stop the


iterative process of identifying every IMF as well as
the whole set of IMFs)

8
The starting point of EMD
is to consider oscillatory signals at the level of their local oscillations
and to formalize the idea that:

“signal = fast oscillations superimposed to slow oscillations”

9
“signal = fast oscillations superimposed to slow oscillations”

Iterate on the slow oscillations component considered as a


new signal.

10
Decomposition of the signal:-

Thus , we can say that the original signal is the combination


of all the EMF’s decomposed and the residue.

11
Empirical Mode Decomposition

• Decomposition:

• Mode: Intrinsic Mode Functions (IMF’s) -Represents the oscillation


modes embedded in the data.

• Empirical: The Sifting process is essentially defined by an


algorithm.EMD lacks theoretical foundations.

12
How to find one Intrinsic Mode Functions of a signal?
Sifting procedure
1. identify all extrema of x(t).
2. Interpolate the local maxima to form an upper envelope u(x).

3. Interpolate the local minima to form an lower envelope l(x).

4. Calculate the mean envelope:m(t)=[u(x)+l(x)]/2.

5. Extract the mean from the signal:h(t)=x(t)-m(t)

6. Check whether h(t) satisfies the IMF condition.


YES: h(t) is an IMF, stop sifting.
NO: let x(t)=h(t), keep sifting.

13
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
Av(t) = 1/2 (U(t) + L(t))
Ii(t) = Ii(t) - Av(t)
i=i+1
end
IMFk(t) = Ii(t)
Residue = Residue - IMFk
k = k+1
end

14
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
Av(t) = 1/2 (U(t) + L(t))
Ii(t) = Ii(t) - Av(t)
i=i+1
end
IMFk(t) = Ii(t)
Residue = Residue - IMFk
k = k+1
end

15
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
Av(t) = 1/2 (U(t) + L(t))
Ii(t) = Ii(t) - Av(t)
i=i+1
end
IMFk(t) = Ii(t)
Residue = Residue - IMFk
k = k+1
end

16
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
Av(t) = 1/2 (U(t) + L(t))
Ii(t) = Ii(t) - Av(t)
i=i+1
end
IMFk(t) = Ii(t)
Residue = Residue - IMFk
k = k+1
end

17
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
Av(t) = 1/2 (U(t) + L(t))
Ii(t) = Ii(t) - Av(t)
i=i+1
end
IMFk(t) = Ii(t)
Residue = Residue - IMFk
k = k+1
end

18
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
Av(t) = 1/2 (U(t) + L(t))
Ii(t) = Ii(t) - Av(t)
i=i+1
end
IMFk(t) = Ii(t)
Residue = Residue - IMFk
k = k+1
end

19
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 0
I1(t) = Residue 2

i=1 1
k=1
0
while Residue not equal zero or not monotone
-1
while Ii has non-negligible local mean
U(t) = spline through local maxima of Ii -2
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) (“residue”-->) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

20
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

21
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

22
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

23
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

24
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

25
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1.5
Ii(t) = Ii(t) - Av(t) 1

i=i+1 0.5
0
end -0.5
IMFk(t) = Ii(t) -1
-1.5
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

26
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 1
I1(t) = Residue
1.5
i=1 1
0.5
k=1
0
while Residue not equal zero or not monotone -0.5

while Ii has non-negligible local mean -1


-1.5
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) (“residue”-->) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

27
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

28
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

29
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

30
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

31
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

32
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t)) 1.5

Ii(t) = Ii(t) - Av(t) 1

0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t) -1

Residue = Residue - IMFk -1.5


10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

33
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 2
I1(t) = Residue 1.5

1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean -1

U(t) = spline through local maxima of Ii -1.5


10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t) (“residue”-->)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

34
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 3
I1(t) = Residue
1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

35
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 4
I1(t) = Residue
1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

36
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 5
I1(t) = Residue
1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

37
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 6
I1(t) = Residue
1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

38
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 7
I1(t) = Residue
1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

39
Huang’s “Sifting Process”.

Residue = s(t)
IMF 1; iteration 8
I1(t) = Residue
1
i=1
0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
-1
Residue = Residue - IMFk
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

40
Huang’s “Sifting Process”.

Residue = s(t)
IMF 2; iteration 0
I1(t) = Residue 1

i=1 0.5
k=1
0
while Residue not equal zero or not monotone
-0.5
while Ii has non-negligible local mean
-1
U(t) = spline through local maxima of Ii
10 20 30 40 50 60 70 80 90 100 110 120
L(t) = spline through local minima of Ii
residue
Av(t) = 1/2 (U(t) + L(t))
1
Ii(t) = Ii(t) - Av(t)
0.5
i=i+1
0
end
-0.5
IMFk(t) = Ii(t)
Residue = Residue - IMFk -1
10 20 30 40 50 60 70 80 90 100 110 120
k = k+1
end

41
An example:-
(puts emphasis on the potentially
“nonharmonic” nature of EMD)

the signal is composed of


1. a “high frequency” triangular waveform
whose amplitude is slowly (linearly)
growing.
2. a “middle frequency”sine wave whose
amplitude is quickly (linearly) decaying
3. a “low frequency” triangular waveform

Both linear and nonlinear oscillations are


effectively identified and separated by EMD.
whereas any “harmonic” analysis (Fourier,
wavelets, . . . ) would end up in the same
context with a much less compact and
physically less meaningful decomposition.

42
Some remarks on Huang’s EMD

Rationale — Intuitive, simple, local and fully data-


driven.

Still lacks from solid theoretical grounds

No analytic definition —
The decomposition is only defined as the output of an
algorithm

43
Applications of EMD

Acoustics, noise, and vibration:


Machine vibration analysis, Speech/sound analysis ,
Biomedical signal analysis.

Environmental:
Oceanography, Earthquake engineering , Water and wind
dynamics.

Industrial:
Machine monitoring and failure prediction .

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References:-
 P. FLANDRIN, P. GONCALVES, 2004 :
 "Empirical Mode Decompositions as Data-Driven Wavelet-Like
Expansions,"
  Int. J. of Wavelets, Multires. and Info. Proc., Vol. 2, No. 4, pp. 477-496.
 ON EMPIRICAL MODE DECOMPOSITION AND ITS ALGORITHMS
Gabriel Rilling∗, Patrick Flandrin∗ and Paulo Gon¸calv`es∗∗
∗Laboratoire de Physique (UMR CNRS 5672), ´Ecole Normale Sup´erieure de Lyon
46, all´ee d’Italie 69364 Lyon Cedex 07, France.

 The analysis of the Empirical Mode Decomposition Method


Vesselin Vatchev, USC ,November 20, 2002

 http://perso.ens lyon.fr/patrick.flandrin/emd.html

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