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I have only read the first 4.5 books in the series so far so apologies if this is answered/explained in the second volume of A Dance With Dragons.

There is a common theme within the series of certain characters being imprisoned by, and at the mercy of, incredibly twisted and sadistic characters. The key major character pairings that spring to mind are

Sansa-Joffrey, Theon-Ramsay Bolton

although I am sure there are others.

I have noticed that despite the utter misery and pain that many characters are subjected to (be it psychological or physical), there is no mention of them considering suicide as a means of escaping their misery. Similarly the following characters

Sandor Clegane and Maester Luwin

both ask another character to end their life despite having a means of ending their lives at their own hands. Given some of the incredibly sadistic characters and actions in these books it surprises me that I cannot recall any situation where a character considers taking their own life despite clearly wanting to die.

This leads the the question of why this is? Is it explained anywhere in the novels and I simply missed it? Or is it inferred that suicide is treated as a sin from the viewpoint of the various gods/religions that exist in-universe (as it is in certain religions that exist in reality)?
Alternatively, please provide an example of such a situation if I have simply forgotten an instance/discussion of suicide?

NOTE: I know that in the TV series

Cersei considers suicide during the Battle of Blackwater Bay

but I am restricting my question to the books only.

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    Cersei considers suicide in that situation in the books as well. She tells Sansa that Ser Ilyn Payne is there to kill her, should the fighting go against them. – TLP Jan 11 '14 at 15:40
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    @TLP Yes but then it is Payne murdering her (even though at her command). It is different to the poison considered in the TV series. – bazz Jan 11 '14 at 17:17
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    Some time since I read the book. But the cult of many-faced god also assisted in suicide. They have a pool of poison in the House of Black and White. – bdecaf Jun 2 '18 at 10:45
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I've racked my brain and come up with a few examples. But there are, as you say, remarkably few actual suicides in the books, despite it clearly being a thing they do.

  • Very early on in the books it is mentioned that Ashara Dayne committed suicide by throwing herself into the sea.
  • Tyrion considers suicide by eating spotted mushrooms early in ADWD.
  • Cersei keeps Ser Ilyn Payne close by to kill her so she is not captured by Stannis during the Battle of the Blackwater Bay.
  • When Tyrion spends time in the Sky cells in The Eyrie, someone has scribbled on the wall something like Gods help me, the sky is calling, and it is mentioned that prisoners of the sky cells often commit suicide by throwing themselves off the mountain.
  • In the prologue to ACOK, Maester Cressen drinks his own poison willingly while trying to murder Melisandre.

And also (Spoiler ADWD)

Ser Loras Tyrell leads a suicidal assault on Dragonstone. He mentions to Tyrion that he has lost his true love (Renly), and he is motivated to save his sister. Presumably, he is also one who would consider dying for a noble cause to be something worthwhile.

And (Spoiler AFFC)

Ser Arys Oakheart performs a suicide charge against crossbowmen and Areo Hotah

And there is also, as you mention, people asking for "mercy" (being put out of their misery), and getting it (or not).

Also (mystery spoiler ADWD)

In the case of Ashara Dayne, it is suspected by some that she did not kill herself, but instead fled across the sea to protect young Aegon, and that her new alter ego is Septa Lemore

Random things:

It is said that Aerion "Brightflame" Targaryen killed himself by drinking wildfire. However, his intent was not to die, but to be transformed into a dragon. But he did die by his own hand.

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    Another instance: when Joffrey shows Sansa her father's head on the battlements, she briefly considers shoving him down the wall and explictly thinks that it would not matter if she went down with him. – Michael Borgwardt Jan 11 '14 at 16:28
  • @MichaelBorgwardt That is true, but now that you mention it, there is a moment with Sansa when she is alone and considers jumping to her death. Can't quite recall the exact moment. – TLP Jan 11 '14 at 16:39
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    Would the person who has downvoted my answer care to explain? It's quite unusual to get downvotes on this site. – TLP Jan 11 '14 at 16:42
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    @bazz Maester Cressen drank his own poison willingly when he tried to murder Melisandre in the prologue to ACOK. – TLP Jan 11 '14 at 18:04
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    Let's also not forget Lysa Arryn's tragic suicide, which her noble husband Lord Baelish tried so gallantly to prevent (in all seriousness though, that did become the official explanation, so we can see how society reacts to a noble's suicide) – user568458 Jan 20 '16 at 16:56
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I think an important point is: suicide is hard. A touching scene with Sandor Clegane in S4E07 of the TV series comes to mind: Sandor Clegane and Arya Stark meet a man who is slowly dying, and says something like he wanted to do end his suffering, but somehow never got around to it. I suppose it takes the ultimate willpower to stab yourself. Far easier to let someone else do it.

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According to Olenna Tyrell, she said her husband died in an accident where he was looking up hunting, and his horse ran off a cliff. Tyrion suggests it was actually suicide, but it seems more like murder to me because I don't think horses would ever run off a cliff.

  • Tell that to King Alexander III's of Scotland's horse, that took him over a cliff in the dark one night and killed him...and triggered the English takeover of the country. – Oldcat Sep 4 '14 at 22:00

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