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Scholars use the term "problem plays" to refer to works that can't be easily fit into the categories of "history," "tragedy," or "comedy." Comedies are usually defined by their happy ending (usually a marriage), while tragedies are marked by death (sometimes lots of death!). Histories are based on true events.
Shakespeare's three plays that are most often called problem plays are Troilus and Cressida, All's Well That Ends Well, and Measure for Measure. Although All's Well and Measure for Measure both have happy endings, both plays deal with serious events.
All's Well and Measure for Measure are considered tragicomedies, or problem plays, but also included would be The Merchant of Venice. Plus the four late plays, Cymbeline, Pericles, The Winter's Tale, and The Tempest are often included under the term problem plays.
Actually the four late plays all fall under the Romantic tradition and thematically share the loss of a daughter. The first three deal with the loss of and gain of a daughter at the end. In The Tempest, Propero is willing to "lose" his daughter because in the end, he will gain.
The problem plays are called problem plays because they deal with problem issues. They are usually classified as comedies because they follow the rule of comedy. They begin with a "bad" situation which gets better at the end. In other words, the situation goes from bad to good.
Since Shakespeare tried various things in his writing and didn't conform to the "rules", it is often difficult to classify his plays. For example, Troilus and Cressida can classified as one of the Greek/Roman plays or plays influenced by Plutarch's Lives.
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