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proposed
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(PARI) a(n) = {my(k=1, t=0); while(n>k, n-=k; t++; k=floor(sqrt(50)*sqrt(10^t))- ceil(sqrt(41)*sqrt(10^t))+1); (ceil(sqrt(41)*sqrt(10^t))+n-1)^2%(40*10^t)} \\ David A. Corneth, May 20 2016
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editing
(MAGMAMagma) [n: n in [1..50000 ] | IsSquare(Seqint(Intseq(n) cat Intseq(4)))]; // Vincenzo Librandi, Feb 20 2020
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Numbers n k such that the decimal number concat(4, nk) is a square.
0 is not a member because 40 is not a square. Note that although 400 is a square, that would require a concatenation with 40 rather than 4.
proposed
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DeleteCases[(FromDigits[Drop[IntegerDigits[#], 1]]) & /@ Select[Range[3, 500]^2, IntegerDigits[#][[1]] == 4 && IntegerDigits[#][[2]] != 0 &], 0] (* Alonso del Arte, Feb 20 2020 *)
(Scala) (5 3 to 500).map(n => n * n).filter(n => n.toString.startsWith("4") && !n.toString.startsWith("40")).map(n => Integer.parseInt(n.toString.substring(1))) // Alonso del Arte, Feb 20 2020