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permutation feature importance random forest

Stack Overflow for Teams is moving to its own domain! While weve seen the many benefits of permutation feature importance, its equally important to acknowledge its drawbacks (no pun intended). Is the variable importance overestimated or underestimated when variables are correlated? arrow_backBack to Course Home. Cell link copied. To learn more, see our tips on writing great answers. We can graph our permutation feature importance scores as well for easier comparison using matplotlib. Of course, features that are collinear really should be permuted together. You can either use the Python implementation (rfpimpviapip) or, if using R, make sure to useimportance=Tin the Random Forest constructor thentype=1in Rsimportance()function. SQL PostgreSQL add attribute from polygon to all points inside polygon but keep all points not just those that fall inside polygon, Replacing outdoor electrical box at end of conduit. This article will explain an alternative way to interpret black box models called permutation feature importance. Scrambling should destroy all (ordering) information in $x_j$ so we will land in situation where $x_j$ is artificially corrupted. What is the function of in ? Compare the correlation and feature dependence heat maps (click to enlarge images): Here are the dependence measures for the various features (from the first column of the dependence matrix): Dependence numbers close to one indicate that the feature is completely predictable using the other features, which means it could be dropped without affecting accuracy. How can we build a space probe's computer to survive centuries of interstellar travel? We have to keep in mind, though, that the feature importance mechanisms we describe in this article consider each feature individually. How to draw a grid of grids-with-polygons? H2O does not calculate permutation importance. When feature importances are very low, it either means the feature is not important or it is highly collinear with one or more other features. Should we burninate the [variations] tag? The more accurate the model, the more we can trust the importance measures and other interpretations. Figure 3(a)andFigure 3(b)plot the feature importances for the same RF regressor and classifier from above, again with a column of random numbers. By clicking Accept all cookies, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy. As a means of checking the permutation implementation in Python, we plotted and compared the feature importances side-by-side with those of R, as shown inFigure 5for regression andFigure 6for classification. Figure 2(b)places the permutation importance of the random column last, as it should be. it is the average increase in squared OOB residuals when the variable This is not a bug in the implementation, but rather an inappropriate algorithm choice for many data sets, as we discuss below. For example, in the following, feature list, bedrooms appear in two meta-features as doesbeds_per_price. This permutation method will randomly shuffle each feature and compute the change in the model's performance. For the second step, I'm having difficulty to understand what is meant by "creating a gird by means of bisecting the sample space at each cutpoint", and didn't really understand if I should determine the cutpoints of the selected Xj or for the other variables Z to be conditioned on. This leads to the bias in the Gini importance approach that we found. The importance value of a feature is the difference between the baseline and the score from the model missing that feature. The resulting dataframe contains permutation feature importance scores. In short, the answer is yes, we can have both. Thats weird but interesting. You can also pass in a list that has sublists like:[[latitude, longitude], price, bedrooms]. Browse other questions tagged, Start here for a quick overview of the site, Detailed answers to any questions you might have, Discuss the workings and policies of this site, Learn more about Stack Overflow the company, I still don't understand how re-training the model with the permuted variable is faster then re-training the model without the variable. In fact, since dropping dummy predictor 3 actually led to a decrease in RMSE, we might consider performing feature selection and removing these unimportant predictors in future analysis. Figure 17shows two different sets of features and how all others are lumped together as one meta-feature. Stack Exchange network consists of 182 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers. We can then compare the performance of our model $M$ when using the pristine estimator $x_j$ and the performance of model $M$ when using the scrambled version; this allows to approximate what would happen if we had little to no information about $x_j$ without having to retrain a model $M^{-x_j}$. The permutation importance code shown above uses out-of-bag (OOB) samples as validation samples, which limits its use to RFs. Meanwhile, PE is not an important feature in any scenario in our study. The permutation importance inFigure 2(a)places bathrooms more reasonably as the least important feature, other than the random column. The quote agrees with this. therefore we can conclude that using random forest feature selection approach for datasets with highly correlated features are not a suitable choice. Because random forests give us an easy out-of-bag error estimate, the feature dependence functions inrfpimprely on random forest models. If you try running these experiments, wed love to hear what you find, and would be happy to help share your findings! ", In the article by Strobl et. Imagine a model with 10 features and we requested a feature importance graph with just two very unimportant features. Replacing outdoor electrical box at end of conduit. Each string or sublist will be permuted together as a feature or meta-feature; the drop in overall accuracy of the model is the relative importance. A way to gauge, how useful a predictor $x_j$ is within a given model $M$ is by comparing the performance of the model $M$ with and without a predictor $x_j$ being included (say model $M^{-x_j}$). Return (base_score, score_decreases) tuple with the base score and score decreases when a feature is not available. determining how "important" a feature is in predicting a target in decision trees, variable importance in R randomForest package. The permutation importance for Xgboost model can be easily computed: perm_importance = permutation_importance(xgb, X_test, y_test) Connect and share knowledge within a single location that is structured and easy to search. now all the feature which were informative are actually downgraded due to correlation among them and the feature which were not informative but were uncorrelated are identified as more important features. The best answers are voted up and rise to the top, Not the answer you're looking for? From these experiments, its safe to conclude that permutation importance (and mean-decrease-in-impurity importance) computed on random forest models spreads importance across collinear variables. You can find all of these experiments trying to deal with collinearity inrfpimp-collinear.ipynbandpimp_plots.ipynb. Then, we use sklearn to fit a simple random forest model. It only takes a minute to sign up. From this, we can conclude that 3500 is a decent default number of samples to use when computing importance using a validation set. Random Forest - Conditional Permutation Importance, https://bmcbioinformatics.biomedcentral.com/articles/10.1186/1471-2105-9-307#Sec8, Mobile app infrastructure being decommissioned, Analysis and classification based on data points. base_score is score_func (X, y); score_decreases is a list of length n_iter with feature importance arrays (each array is of shape n . If we have two longitude columns and drop one, there should not be a change in accuracy (at least for an RF model that doesnt get confused by duplicate columns.) Why don't we know exactly where the Chinese rocket will fall? As arguments it requires trained model (can be any model compatible with scikit-learn API) and validation (test data). Partial Plots. Permutation Importance Permutation importance is also model-agnostic and based on the similar idea to the drop-column but doesn't require expensive computation. The cost of this re-training procedure quickly becomes prohibitively high. Are Githyanki under Nondetection all the time? These test numbers are completely unscientific but give you a ballpark of speed improvement. It has been widely used for a long time even before random forest. Feature importance techniques assign a score to each predictor based on its ability to improve predictions. Random Forest Bias in Permutation Importance. Useful resources. Why is SQL Server setup recommending MAXDOP 8 here? Repeating the permutation and averaging the importance measures over repetitions stabilizes the measure, but increases the time of computation. Using OOB samples means iterating through the trees with a Python loop rather than using the highly vectorized code inside scikit/numpy for making predictions. We'll focus on permutation importance, compared to most other approaches, permutation importance is: Fast to calculate. When the migration is complete, you will access your Teams at stackoverflowteams.com, and they will no longer appear in the left sidebar on stackoverflow.com. Rs mean-decrease-in-impurity importance (type=2) gives the same implausible results as we saw with scikit. The permutation importance is a measure that tracks prediction accuracy . A way to identify if a feature, x, is dependent on other features is to train a model using x as a dependent variable and all other features as independent variables (this is calledMulticollinearity). LWC: Lightning datatable not displaying the data stored in localstorage. I think a useful way to make use of this site is to try to implement it, and then if you run into something specific that is unclear, ask a question about that. For a variable with many levels (in the most extreme case, a continuous variable will generally have as many levels as there are rows of data) this means testing many more split points. Breiman and Cutler also describedpermutation importance, which measures the importance of a feature as follows. Using a held-out set makes it possible to highlight which features contribute the most to the generalization power of the inspected model. Why don't we know exactly where the Chinese rocket will fall? What is the best way to show results of a multiple-choice quiz where multiple options may be right? Understanding the reason why extremely randomized trees can help requires understanding why Random Forests are biased. (Dropping features is a good idea because it makes it easier to explain models to consumers and also increases training and testing efficiency/speed.) Cant we have both? let me share my experiments to make that point clear. Here are a few disadvantages of using permutation feature importance: The takeaway from this article is that the most popular RF implementation in Python (scikit) and Rs RF default importance strategy does not give reliable feature importances when potential predictor variables vary in their scale of measurement or their number of categories. (Stroblet al). Finally, it appears that the five dummy predictors do not have very much predictive power. Two surfaces in a 4-manifold whose algebraic intersection number is zero. The other is based on a permutation test. Is MATLAB command "fourier" only applicable for continous-time signals or is it also applicable for discrete-time signals? Does squeezing out liquid from shredded potatoes significantly reduce cook time? looking into it we can obviously see that the best features are in the range of 45 and it neighboring while the less informative features are in the range of 90 to 100. Here are the first three rows of data in our data frame,df, loaded from the data filerent.csv(interest_levelis the number of inquiries on the website): We trained a regressor to predict New York City apartment rent prices using four apartment features in the usual scikit way: In order to explain feature selection, we added a column of random numbers. Normally we prefer that a post have a single question. Here is the completeimplementation: Notice that we force therandom_stateof each model to be the same. Dropping those 9 features has little effect on the OOB and test accuracy when modeled using a 100-tree random forest. Therefore, variables where more splits are tried will appear more often in the tree. The SHAP explanation method computes Shapley values from coalitional game theory. Record a baseline accuracy (classifier) or R2score (regressor) by passing a validation set or the out-of-bag (OOB) samples through the Random Forest. The features which impact the performance the most are the most important one. Permuting values in a variable decouples any relationship between the predictor and the outcome which renders the variable pseudo present in the model. Making statements based on opinion; back them up with references or personal experience. I've been looking for the most unbiased algorithm to find out the feature importances in random forests if there are correlations among the input features. Permutation importance does not reflect the intrinsic predictive value of a feature by itself buthow important this feature is for a particular model. How feature importance is calculated in regression trees? Measuring linear model goodness-of-fit is typically a matter of residual analysis. Not the answer you're looking for? most of the problems with traditional random forest variable importance is the split to purity: regular random forests have better prediction . It is implemented in scikit-learn as permutation_importance method. Making statements based on opinion; back them up with references or personal experience. Does squeezing out liquid from shredded potatoes significantly reduce cook time? To subscribe to this RSS feed, copy and paste this URL into your RSS reader. The regressor inFigure 1(a)also had the random column last, but it showed the number of bathrooms as the strongest predictor of apartment rent price. Permutation feature importance is a powerful tool that allows us to detect which features in our dataset have predictive power regardless of what model we're using. If we rely on the standard scikitscore()function on models, its a simple matter to alter the permutation importance to work on any model. The permutation feature importance depends on shuffling the feature, which adds randomness to the measurement. Why do I get two different answers for the current through the 47 k resistor when I do a source transformation? plt.xlabel ("Random Forest Feature Importance") Permutation Based Feature Importance (with scikit-learn) The permutation-based importance can be used to overcome drawbacks of default feature importance computed with mean impurity decrease. Stack Overflow for Teams is moving to its own domain! Is there any way to get conditional permutation importance from h2o.gbm? Training a model that accurately predicts outcomes is great, but most of the time you dont just need predictions, you want to be able tointerpretyour model. By clicking Accept all cookies, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy. By clicking Post Your Answer, you agree to our terms of service, privacy policy and cookie policy. When features are correlated but not duplicates, the importance should be shared roughly per their correlation (in the general sense of correlation, not the linear correlation coefficient). The idea behind the algorithm is borrowed from the feature randomization technique used in Random Forests and described by Brieman in his seminal work Random . see the Nicodemus et al. It directly measures variable importance by observing the effect on model accuracy of randomly shuffling each predictor variable. Similarly, lets drop concavity error and fractal dimension error because compactness error seems to predict them well. We added a permutation importance function that computes the drop in accuracy using cross-validation. Illustrating permutation importance. I would suggest not relying on a single . When the permutation is repeated, the results might vary greatly. The key to this baseline minus drop in performance metric computation is to use a validation set or the OOB samples, not the training set (for the same reason we measure model generality with a validation set or OOB samples). Lets consider the following trained regression model: Its validation performance, measured via theR2score, is significantly larger than the chance level. Stack Overflow for Teams is moving to its own domain! Spearmans is nonparametric and does not assume a linear relationship between the variables; it looks for monotonic relationships. Does squeezing out liquid from shredded potatoes significantly reduce cook time? The behaviour of random forest permutation-based variable importance measures under predictor correlation, Please Stop Permuting Features: An Explanation and Alternatives, Mobile app infrastructure being decommissioned. This means that the feature does not contribute much to predictions (importance close to 0), but random chance caused the predictions on shuffled data to be more accurate. Thanks for contributing an answer to Cross Validated! We will train two random forest where each model adopts a different ranking approach for feature importance. permutation importance in h2o random Forest Ask Question 0 The CRAN implementation of random forests offers both variable importance measures: the Gini importance as well as the widely used permutation importance defined as For classification, it is the increase in percent of times a case is OOB and misclassified when the variable is permuted. Its time to revisit any business or marketing decisions youve made based upon the default feature importances (e.g., which customer attributes are most predictive of sales). Heres the code to do this from scratch. However, one drawback to using these black box models is that its often difficult to interpret how predictors influence the predictions especially with conventional statistical methods. It's a topic related to how Classification And Regression Trees (CART) work. Heres a snapshot of the first five rows of the dataset,df. Connect and share knowledge within a single location that is structured and easy to search. importance: Extract variable importance measure Description This is the extractor function for variable importance measures as produced by randomForest. This makes it possible to use thepermutation_importancefunction to probe which features are most predictive: Note that the importance values for the top features represent a large fraction of the reference score of 0.356. Using Permutation Feature Importance (PFI), learn how to interpret ML.NET machine learning model predictions. Do anyone know what is true? Its unclear just how big the bias towards correlated predictor variables is, but theres a way to check. The number of bathrooms is the strongest predictor of rent price. If your data set is not too big or you have a really beefy computer, you can always use the drop-column importance measure to get an accurate picture of how each variable affects the model performance. Its also worth pointing out that feature importances should only be trusted with a strong model. At this point, feel free to take some time to tune the hyperparameters of your random forest regressor. For example, If a column (Col1) takes the values 1,2,3,4, and a random permutation of the values results in 4,3,1,2. https://blog.methodsconsultants.com/posts/be-aware-of-bias-in-rf-variable-importance-metrics/, https://bmcbioinformatics.biomedcentral.com/articles/10.1186/1471-2105-9-307, https://scikit-learn.org/stable/modules/permutation_importance.html, Mobile app infrastructure being decommissioned, Machine learning : Perceptron, purpose of bias and threshold, When will empirical risk minimization with inductive bias fail>, Definition of "Bias" in Machine learning models, Horror story: only people who smoke could see some monsters. As the name suggests, black box models are complex models where its extremely hard to understand how model inputs are combined to make predictions. To get reliable results, use permutation importance, provided in the rfpimp package in the src dir. The three quotes seem rather contradicting. What is the point of permuting the predictor? The reason for this default is that permutation importance is slower to compute than mean-decrease-in-impurity. The diagonal is all xs since auto-correlation is not useful. That helps keep your question focused. What does it mean to "permute" a predictor in the context of random forest? The idea is that if the variable is not important (the null . MathJax reference. As we discussed, permutation feature importance is computed by permuting a specific column and measuring the decrease in accuracy of the overall classifier or regressor. I would suggest not relying on a single variable importance performance metric. 00:00 What is Permutation Importance and How eli5 permutation importance works. So, in a sense, conking the RF on the head with a coconut by permuting one of those equally important columns should be half supported by the other identical column during prediction. Please see the documentation for the explanation of how variable importance is calculated. For example, the mean radius is extremely important in predicting mean perimeter and mean area, so we can probably drop those two. The invocation from a notebook in Jupyter Lab looks like this: Using a validation set with 36,039 records instead of OOB samples takes about 8 seconds (n_samples=-1implies the use of all validation samples): If we further let the importances function use the default of 3,500 samples taken randomly from the validation set, the time drops to about 4 seconds. Is there really no option in h2o to get the alternative measure out of a random forest model? A feature request has been previously made for this issue, you can follow it here (though note it is currently open). Use MathJax to format equations. To paraphrase a great one: "all importance metrics are wrong but some are useful". One of Breimans issues involves the accuracy of models. https://explained.ai/rf-importance/index.html, https://scikit-learn.org/stable/modules/permutation_importance.html, https://towardsdatascience.com/from-scratch-permutation-feature-importance-for-ml-interpretability-b60f7d5d1fe9, Two Sigma Connect: Rental Listing Inquiries, Bias in random forest variable importance measures: Illustrations, sources and a solution, Conditional variable importance for random forests, Bias in random forest variable importance measures: Illustrations, sources, and a solution, Selecting good features Part III: random forests, stability selection and recursive feature implementation, How to Calculate Feature Importance With Python, How to return pandas dataframes from Scikit-Learn transformations: New API simplifies data preprocessing, Setup collaborative MLflow with PostgreSQL as Tracking Server and MinIO as Artifact Store using docker containers, Breiman and Cutler are the inventors of RFs, so its worth checking out their discussion of, A good source of information on the bias associated with mean-decrease-in-impurity importance is Strobl, To go beyond basic permutation importance, check out Strobl. Hear what you find, and would be happy to help share your findings use! Datatable not displaying the data stored in localstorage it is currently open ) it & # ;! Techniques assign a score to each permutation feature importance random forest variable predicting a target in decision trees, variable importance R! Is there any way to interpret ML.NET machine learning model predictions as follows quickly... Source transformation or is it also applicable for discrete-time signals effect on the OOB and test accuracy modeled... What does it mean to `` permute '' a feature by itself important! This point, feel free to take some time to tune the hyperparameters of your forest... The diagonal is all xs since auto-correlation is not important ( the null of.!, permutation importance and how eli5 permutation importance and how eli5 permutation importance works area, we! Suitable choice meta-features as doesbeds_per_price course, features that are collinear really permutation feature importance random forest be permuted together score to predictor. Yes, we use sklearn to fit a simple random forest missing that feature becomes prohibitively high one: all... Up with references or personal experience tips on writing great answers as it should be permuted.... Price, bedrooms appear in two meta-features as doesbeds_per_price problems with traditional random forest model equally important acknowledge. Agree to our terms of service, privacy policy and cookie policy adopts different. 8 here value of a feature by itself buthow important this feature is in mean! On the OOB and test accuracy when modeled using a held-out set makes it possible to highlight which features the. Can graph our permutation feature importance, compared to most other approaches, permutation importance function that computes the in... Pe is not an important feature in any scenario in our study to learn more see! We requested a feature is not useful model, the answer is yes, we can conclude 3500! K resistor when I do a source transformation importance in R randomForest package two different answers the! Features are not a suitable choice currently open ) copy and paste this URL into your RSS.. Single variable importance overestimated or underestimated when variables are correlated understanding the reason for issue... Tips on writing great answers and how all others are lumped together as one.. 47 k resistor when I do a source transformation the split to purity: regular random forests better... The predictor and the outcome which renders the variable is not useful Classification and regression trees CART. The inspected model not assume a linear relationship between the variables ; it looks for monotonic relationships intended ) has. As well for easier comparison using matplotlib, features that are collinear really should be ), learn to! Is for a particular model 47 k resistor when I do a source transformation get two different for! Why extremely randomized trees can help requires understanding why random forests are biased we... Least important feature, other than the chance level share my experiments to make that point.... Option in h2o to get the alternative measure out of a feature is for particular... When I do a source transformation into your RSS reader ; back them up with references or personal experience do... Permutation and averaging the importance of the first five rows of the inspected model the permutation importance of feature... Variable importance measure Description this is the best way to check documentation for the current through the 47 resistor... Variables are correlated answer is yes, we use sklearn to fit a simple forest. Feature dependence functions inrfpimprely on random forest regressor point clear the measurement collinear really should permuted... Single location that is structured and easy to search therefore we can have both it should permuted. This feature is the best answers are voted up and rise to the in! Important ( the null this feature is the best way to interpret ML.NET learning... And score decreases when a feature is not useful predicting a target in decision trees, variable importance the... Single location that is structured and easy to search happy to help share your findings predictor and the outcome renders... Some time to tune the hyperparameters of your random forest directly measures importance. Is the difference between the predictor and the outcome which renders the pseudo! The mean radius is extremely important in predicting a target in decision,. Help share your findings the measurement feature importance, which limits its use RFs. Of your random forest where each model adopts a different ranking approach for importance... Datatable not displaying the data stored in localstorage not the answer is yes, we sklearn. Dependence functions inrfpimprely on random forest model copy and paste this URL your. A particular model setup recommending MAXDOP 8 here RSS feed, copy and paste this URL into RSS. Is zero Cutler also describedpermutation importance, which limits its use to RFs for monotonic.! On permutation importance does not assume a linear relationship between the variables ; it looks for monotonic relationships error... ( PFI ), learn how to interpret ML.NET machine learning model predictions model missing that importances! Observing the effect on model accuracy of randomly shuffling each predictor variable importance code shown above out-of-bag! Time of computation values from coalitional game theory of service, privacy policy cookie. Explanation method computes Shapley values from coalitional game theory not important ( the null features contribute the important! Use permutation importance from h2o.gbm a topic related to how Classification and regression trees ( )... Applicable for continous-time signals or is it also applicable for continous-time signals or is it also applicable for signals! Error because compactness error seems to predict them well then, we use sklearn to fit a random! ) gives the same liquid from shredded potatoes significantly reduce cook time scikit-learn API ) and validation ( data... Directly measures variable importance is calculated find, and would be happy to help share your findings in R package! Location that is structured and easy to search we found long time even before random forest where each to... Have both may be right also describedpermutation importance, provided in the tree strongest predictor of price! A strong model computing importance using a validation set we describe in this article consider feature! To acknowledge its drawbacks ( no pun intended ) error estimate, the answer is yes we. Shap explanation method computes Shapley values from coalitional game theory which adds randomness to the in. Model accuracy of models importance graph with just two very unimportant features measured via theR2score, is significantly than... But increases the time of computation ) and validation ( test data.! On random forest model for variable importance measures over repetitions stabilizes the measure, but increases the time computation. Just how big the bias in the following trained regression model: its validation,! Seems to predict them well can conclude that 3500 is a measure that tracks prediction accuracy you. Compared to most other approaches, permutation importance and how eli5 permutation importance function that the. A post have a single location that is structured and easy to search the important. Importance: Extract variable importance is: Fast to calculate if the variable present! On permutation importance function that computes the drop in accuracy using cross-validation not available in localstorage, price bedrooms. Describe in this article consider each feature and compute the change in the model missing that feature should! Model with 10 features and we requested a feature is the strongest predictor of rent price a simple random regressor! By observing the effect on model accuracy of models s performance that is structured and to... Classification and regression trees ( CART ) work like: [ [,... The best answers are voted up and rise to the bias in rfpimp. Machine learning model predictions great answers importance code shown above uses out-of-bag ( OOB ) samples validation. B ) places bathrooms more reasonably as the least important feature in any scenario in study. Those two stabilizes the measure, but theres a way to get the alternative out. This feature is not an important feature, which measures the importance value a. Trained model ( can be any model compatible with scikit-learn API ) and validation test. Understanding the reason for this default is that permutation importance, provided in model! To check forest feature selection approach for feature importance graph with just two very unimportant features five rows the! Oob and test accuracy when modeled using a validation set deal with collinearity inrfpimp-collinear.ipynbandpimp_plots.ipynb Python loop rather than using highly... Back permutation feature importance random forest up with references or personal experience the alternative measure out of a feature is not useful:... Permutation method will randomly shuffle each feature individually together as one meta-feature x27 ; s a topic related to Classification! Because compactness error seems to predict them well very unimportant features experiments to make that point clear ranking approach datasets! Would be happy to help share your findings 17shows two different answers the... Following trained regression model: its validation performance, measured via theR2score, is significantly larger than random... `` fourier '' only applicable for continous-time signals or is it also applicable for continous-time or. Intersection number is zero dimension error because compactness error seems to predict them.... Answers for the explanation of how variable importance measures over repetitions stabilizes the,! Little effect on model accuracy of randomly shuffling each predictor variable imagine a model with 10 and. Game theory because compactness error seems to predict them well forest models we prefer that a post have a variable... Code shown above uses out-of-bag ( OOB ) samples as validation samples, which limits its to! Liquid from shredded potatoes significantly reduce cook time drop concavity error and fractal dimension because! Repeating the permutation importance does not assume a linear relationship between the predictor and score!

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