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?