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You should be able to get many different responses to this question in contrasting both heroes and their quests. I would say that the primary level of comparison between both is that they both engage in adventurous quests. Quixote and Odysseus face adversaries of both their own creation and out of their control and have to essentially become classical "swashbucklers" in order to battle through what they consider to be evil. Quixote and Odysseus rely on their own senses of subjectivity to appropriate the world accordingly. Odysseus relies on his own skill and guile to outwit his adversaries to return to Ithaca, while Quixote relies on his own notion of chivalry and Romantic ideals to animate his spirit. There are some distinct differences. The first is the presence of divinity. Odysseus is favored by Athena and this helps him immensely. In contrast, I don't see Quixote as really assisted by the power of divinity, as much as he is driven by the aforementioned spirit of romantic ideals and the aspiration of "being a knight." Another significant difference is that Quixote has a sidekick in Sancho. He comes to rely on Sancho as his assistant and "partner in crime," so to speak. Odysseus does not rely on anyone nor does he essentially turn to anyone for counsel on a consistent basis. Another difference I would sense in both is that Odysseus is able to externalize the battle, convincing others to fight with him against adversaries that are real and quite definable. Quixote's battles are more subjective in the fact that few others really understand to what end he is fighting. The windmills still appear windmills to everyone but him.
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