Consider the following example (from the documentation):

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#+begin_src python :session :results file
import matplotlib
matplotlib.use('Agg')
import matplotlib.pyplot as plt
fig=plt.figure(figsize=(3,2))
plt.plot([1,3,2])
fig.tight_layout()
plt.savefig('images/myfig.pdf')
'images/myfig.pdf' # return this to org-mode
#+end_src
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It should return something like

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#+RESULTS:
[[file:images/myfig.pdf]]
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But for me it returns merely

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#+RESULTS:
[[file:]]
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That is, it doesn't capture the file name that should be the last
evaluation.

How can I solve this problem?