What are some examples of Romeo being close-minded in Shakespeare's Romeo and Juliet? 

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Romeo is stubborn and close-minded throughout Shakespeare's Romeo and Juliet. In Act I, he whines about his unreciprocated love for Rosaline. He won't listen to Benvolio's advice about looking at other women. He can't imagine any woman more beautiful than Rosaline. He says, in Act I, Scene 2,

One fairer than my love? The all-seeing sun
Ne’er saw her match since first the world begun.
Later in Act I he won't listen to Mercutio's urgings to enjoy himself at the Capulet party. He complains he is too sad and depressed. He puns on the homophones "soul" and "sole" to illustrate his heavy heart. He says, in Act I, Scene 4,
Not I, believe me. You have dancing shoes
With nimble soles. I have a soul of lead
So stakes me to the ground I cannot move.
In Act II, Scene 2, while Romeo is talking to Juliet, he again proves to be close-minded. Juliet is reticent about the speed of the relationship and wants some time to think about things. She tells Romeo that if they are truly in love it will be like a "beauteous flower" when they meet again. Romeo, however, is not to be put off. He demands she "satisfy" him by agreeing to marriage that same night.
The audience may also perceive Romeo as foolish and close-minded when he seeks revenge against Tybalt. He must have known that the fight could possibly tear apart his relationship with Juliet. Moreover, it is simply not wise considering the circumstances and the Prince's recent declaration of the death penalty for fighting in the streets.
After the fight, Romeo is childish and close-minded when he hears that he has been sentenced to banishment. In Act III, Scene 3, he cries,
’Tis torture and not mercy. Heaven is here
Where Juliet lives, and every cat and dog
And little mouse, every unworthy thing,
Live here in heaven and may look on her,
But Romeo may not.
Romeo ignores most of the Friar's words about being patient until the Nurse arrives and he finally comes to his senses. He also shows some level of common sense when he refuses to believe it is the nightingale singing outside Juliet's bedroom in Act III, Scene 5. He even comforts Juliet by saying he is sure they will meet again when he departs her balcony.
His stubborn nature resurfaces again in Act V. He heads straight for disaster when Balthasar tells him of Juliet's death. Rather than consult with Friar Lawrence, he immediately buys poison and heads for Juliet's tomb. He won't listen to the pleadings of his servant who advises him to be patient and not engage in any "misadventure."
Later in Act V, he doesn't stop to reason with Paris when the Count apprehends him at the tomb. Rather than be open-minded and consider all sides to the situation, he rashly engages Paris in a fight and promptly kills him. Romeo's close-minded nature is his biggest downfall. 
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