In the case of the Algorand platform, Relay Nodes are used primarily to help maintain connections between other node types. This is accomplished by accumulating protocol messages from Participation Nodes and other Relay Nodes used to perform deduplication, signature checks and other validation checks to then re-propagate valid messages on the system. Relay Nodes are generally located on internet exchange points to decrease propagation time and can be run by anyone who uses the Algorand network.
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