207 lines
5.5 KiB
C
207 lines
5.5 KiB
C
/*
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* Mathlib : A C Library of Special Functions
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* Copyright (C) 1998 Ross Ihaka
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* Copyright (C) 2000-2002 The R Core Team
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* Copyright (C) 2007 The R Foundation
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*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation; either version 2 of the License, or
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* (at your option) any later version.
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*
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* This program is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with this program; if not, a copy is available at
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* http://www.r-project.org/Licenses/
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*
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* SYNOPSIS
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*
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* #include <Rmath.h>
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* double rbinom(double nin, double pp)
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*
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* DESCRIPTION
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*
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* Random variates from the binomial distribution.
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*
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* REFERENCE
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*
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* Kachitvichyanukul, V. and Schmeiser, B. W. (1988).
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* Binomial random variate generation.
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* Communications of the ACM 31, 216-222.
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* (Algorithm BTPEC).
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*/
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/*
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* Modifications for this file were performed by Tamas Nepusz to make it fit
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* better with plfit. The license of the original file applies to the
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* modifications as well.
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*/
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#include <math.h>
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#include <stdlib.h>
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#include "plfit_sampling.h"
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#define repeat for(;;)
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double plfit_rbinom(double nin, double pp, plfit_mt_rng_t* rng)
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{
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/* FIXME: These should become THREAD_specific globals : */
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static double c, fm, npq, p1, p2, p3, p4, qn;
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static double xl, xll, xlr, xm, xr;
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static double psave = -1.0;
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static int nsave = -1;
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static int m;
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double f, f1, f2, u, v, w, w2, x, x1, x2, z, z2;
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double p, q, np, g, r, al, alv, amaxp, ffm, ynorm;
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int i, ix, k, n;
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if (!isfinite(nin)) return NAN;
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r = floor(nin + 0.5);
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if (r != nin) return NAN;
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if (!isfinite(pp) ||
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/* n=0, p=0, p=1 are not errors <TSL>*/
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r < 0 || pp < 0. || pp > 1.) return NAN;
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if (r == 0 || pp == 0.) return 0;
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if (pp == 1.) return r;
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n = (int) r;
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p = fmin(pp, 1. - pp);
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q = 1. - p;
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np = n * p;
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r = p / q;
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g = r * (n + 1);
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/* Setup, perform only when parameters change [using static (globals): */
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/* FIXING: Want this thread safe
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-- use as little (thread globals) as possible
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*/
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if (pp != psave || n != nsave) {
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psave = pp;
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nsave = n;
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if (np < 30.0) {
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/* inverse cdf logic for mean less than 30 */
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qn = pow(q, (double) n);
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goto L_np_small;
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} else {
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ffm = np + p;
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m = (int) ffm;
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fm = m;
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npq = np * q;
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p1 = (int)(2.195 * sqrt(npq) - 4.6 * q) + 0.5;
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xm = fm + 0.5;
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xl = xm - p1;
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xr = xm + p1;
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c = 0.134 + 20.5 / (15.3 + fm);
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al = (ffm - xl) / (ffm - xl * p);
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xll = al * (1.0 + 0.5 * al);
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al = (xr - ffm) / (xr * q);
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xlr = al * (1.0 + 0.5 * al);
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p2 = p1 * (1.0 + c + c);
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p3 = p2 + c / xll;
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p4 = p3 + c / xlr;
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}
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} else if (n == nsave) {
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if (np < 30.0)
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goto L_np_small;
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}
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/*-------------------------- np = n*p >= 30 : ------------------- */
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repeat {
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u = plfit_runif_01(rng) * p4;
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v = plfit_runif_01(rng);
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/* triangular region */
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if (u <= p1) {
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ix = (int)(xm - p1 * v + u);
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goto finis;
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}
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/* parallelogram region */
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if (u <= p2) {
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x = xl + (u - p1) / c;
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v = v * c + 1.0 - fabs(xm - x) / p1;
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if (v > 1.0 || v <= 0.)
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continue;
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ix = (int) x;
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} else {
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if (u > p3) { /* right tail */
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ix = (int)(xr - log(v) / xlr);
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if (ix > n)
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continue;
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v = v * (u - p3) * xlr;
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} else {/* left tail */
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ix = (int)(xl + log(v) / xll);
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if (ix < 0)
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continue;
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v = v * (u - p2) * xll;
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}
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}
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/* determine appropriate way to perform accept/reject test */
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k = abs(ix - m);
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if (k <= 20 || k >= npq / 2 - 1) {
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/* explicit evaluation */
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f = 1.0;
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if (m < ix) {
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for (i = m + 1; i <= ix; i++)
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f *= (g / i - r);
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} else if (m != ix) {
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for (i = ix + 1; i <= m; i++)
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f /= (g / i - r);
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}
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if (v <= f)
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goto finis;
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} else {
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/* squeezing using upper and lower bounds on log(f(x)) */
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amaxp = (k / npq) * ((k * (k / 3. + 0.625) + (1.0 / 6.0)) / npq + 0.5);
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ynorm = -k * k / (2.0 * npq);
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alv = log(v);
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if (alv < ynorm - amaxp)
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goto finis;
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if (alv <= ynorm + amaxp) {
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/* stirling's formula to machine accuracy */
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/* for the final acceptance/rejection test */
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x1 = ix + 1;
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f1 = fm + 1.0;
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z = n + 1 - fm;
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w = n - ix + 1.0;
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z2 = z * z;
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x2 = x1 * x1;
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f2 = f1 * f1;
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w2 = w * w;
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if (alv <= xm * log(f1 / x1) + (n - m + 0.5) * log(z / w) + (ix - m) * log(w * p / (x1 * q)) + (13860.0 - (462.0 - (132.0 - (99.0 - 140.0 / f2) / f2) / f2) / f2) / f1 / 166320.0 + (13860.0 - (462.0 - (132.0 - (99.0 - 140.0 / z2) / z2) / z2) / z2) / z / 166320.0 + (13860.0 - (462.0 - (132.0 - (99.0 - 140.0 / x2) / x2) / x2) / x2) / x1 / 166320.0 + (13860.0 - (462.0 - (132.0 - (99.0 - 140.0 / w2) / w2) / w2) / w2) / w / 166320.)
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goto finis;
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}
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}
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}
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L_np_small:
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/*---------------------- np = n*p < 30 : ------------------------- */
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repeat {
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ix = 0;
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f = qn;
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u = plfit_runif_01(rng);
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repeat {
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if (u < f)
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goto finis;
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if (ix > 110)
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break;
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u -= f;
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ix++;
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f *= (g / ix - r);
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}
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}
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finis:
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if (psave > 0.5)
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ix = n - ix;
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return (double)ix;
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}
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