Everyone make mistakes.
Some matter, some don't.
Some are public, some are private.
Some can be remedied, many can't.
So what do you do when you realize you've made a mistake?
First, act to limit the scope of the error. For example, if you have a harmful habit, work to get rid of it. Notice I didn't say 'stop', because choosing to reduce the number of drinks you take or cigarettes you smoke is easier than stopping all together and may allow you to succeed sooner. If it is something that can be changed completely, change it. Strive to halt the harm as soon as possible.
Acknowledge that it is a mistake. Admit to yourself that you did something wrong. Don't pretend it is okay or claim that it isn't your fault. Be honest with yourself.
Accept the unknown. That you may never know the full effect of the mistake. That your concerns about the impact of the error are overblown. Or that in the future, you or others may suffer the consequences.
Next, apologize to anyone you have harmed. If they contributed to the choice, help them understand how and why, so they don't suffer again.
Finally, understand the root cause of the mistake. Did you start smoking because you wanted to impress your friends? To rebel against someone who always told you not to smoke? Did you do something because you were cheap and saw a solution that didn't cost much? These are the underlying values that you must understand to avoid making a similar mistake in the future.
In the unlikely event anything positive came out of your mistake, be grateful and try to see a way to make the most of it.
Credit yourself with doing everything you can to address the mistake (make sure this is true) and move on. This is likely the most difficult part. Reviewing instances where you made better decisions can be really helpful.
Pray to your God for forgiveness, to protect you from your error, and to help you avoid mistakes in the future.
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