Data collected in Fermilab experiment E731 was used to perform the first search for the decay KL→π0νν. This decay is dominated by short distance effects and is almost entirely direct CP violating within the standard model. Cuts were developed to reject the background processes Λ→nπ0 and KL→π+e-γν. No candidate events were seen. We find BR (KL→π0νν)<2.2 × 10-4 at the 90% confidence level.
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