You can accomplish this in several ways. One procedure, which chefs call "reduction", is to boil the liquid for a period of time so that some of it evaporates. (Many recipes, especially those of the classic French cuisine, advise the cook to reduce the liquid to one-half or less of its original volume). Reduction does more than thicken. It also concentrates existing flavors. And the Maillard reaction precipitated by heat chemically creates new flavors.
Another popular technique for thickening a sauce is to introduce a quantity of minute solids, such as pureed vegetables, into the preparation; the more water-absorbent these food molecules are, the thicker your sauce becomes.
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