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The currency of physics is truth. Anyone who does not understand this should not be allowed to continue in physics.
It is unfortunately true that many students do not understand that material from the web is not free but must be acknowledged with the same citation structure that is used for printed material. While ignorance of the law does not excuse breaking it, in many cases there is no intent to do wrong. It is also possible that this student knows he is cheating but is claiming ignorance, hoping to escape the consequences.
There are a number of options. One would be to ignore the problem. Alternatively, you could contact his instructor and discuss the problem with her. You could alert your chair that there is a "cheating" graduate student in the department. You could also tell no one else, but treat the occurrence as a "teaching moment," working with the student to help him understand the seriousness of his action and how to correct it.
An outside observer might ask whether the department discusses plagiarism in its orientation program for its new graduate students. Another question might be whether there is a way to monitor this student's future behavior without irreparably damaging his future. This is a situation in which the importance of formal ethics instruction comes to the fore.
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