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Wouldn't a structure this large be inevitably hit by debris, whether from our own junk or stuff from elsewhere in space?

They'd need a gundam squadron to protect it too.

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Most of the debris is in low orbits. So no direct problem. But if you build it in low earth orbit and fly it out on its own power in a slow spiral, then it's going to be a big problem. Flying with chemical rockets only up to LEO and electric propulsion from there on saves mass hugely. Best to assemble moderate pieces and fly them higher after completion.

I was also wondering about the shadow it would cast...

It wouldn't cast an umbral shadow at all. It would cast a incredibly faint penumbral shadow.

Look at it this way, at the sizes that are commonly talked about for these, at the orbital heights being talked about, the occlusion of the sun would be on the order of a very minor sun spot, and only for very brief periods of time.

I'm sure someone here will do the math, but short answer is that it wouldn't produce a noticeable shadow. Too small, too high.

The apparent size of the structure in the sky, is on the order of three magnitudes smaller compared to the size of the moon.

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