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Walter de la Mare's short poem "Napoleon" goes like this:

What is the world, O soldiers?
It is I:
I, this incessant snow,
This northern sky;
Soldiers, this solitude
Through which we go
Is I.

What is the literary device which identifies the world, snow, sky, and solitude with the speaker? Given the title, I assume that "I" refers to Napoleon, not the actual world etc., but what is it called when a poet identifies the surroundings with a person like this? I think it's not exactly personification, since all those things are identified with a specific person. Is there a name for what's going on here?

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You are correct that this is not personification. Personification is when an abstract or inanimate entity is represented as a human figure, for example the embodiment of "Rumor, painted full of tongues" that opens Shakespeare's 2 Henry VI. To the best of my knowledge, there is no specific rhetorical device that involves the reverse: identifying a person with something inanimate. The more general trope that involves identifying two otherwise disparate entities is, of course, metaphor. Just as the camel is the ship of the desert, the world, the snow, the sky, and the solitude are all Napoleon.

To understand the import of these metaphors, we need to look at two other rhetorical devices. The first is hyperbole, or poetic exaggeration. Napoleon's identification of the entire world with himself is certainly hyperbolic. Through this hyperbolic identification, the world, the snow, the sky, and the solitude represent, in a sympathetic reading, Napoleon's power. Louis XIV could say "L'état, c'est moi", but Napoleon was commander not just of the state, but of the world; he could claim that the entire natural world was himself. A less sympathetic, and historically more accurate, reading would see this as a metaphor for Napoleon's ego. He thought he commanded the world, but ended up defeated by it. The setting of the poem—bleak winter—recalls the first major defeat of his career, his retreat from Moscow in the harsh Russian winter. The reason the soldiers face the inhospitable landscape is indeed Napoleon; the landscape might as well be Napoleon.

The other rhetorical device at work here is irony. The contrast between the two readings of this hyperbolic identification provides this irony. Seeking to control the entire world, Napoleon finds himself humiliated, and the entire world becomes an emblem of his humiliation. This is the same sort of device Shelley employs in "Ozymandias":

'My name is Ozymandias, King of Kings;
Look on my Works, ye Mighty, and despair!'
Nothing beside remains. Round the decay
Of that colossal Wreck, boundless and bare
The lone and level sands stretch far away.

Ozymandias intended those who see the statue to feel awe and to despair at his might; instead, his statue has crumbled into the desert. The despair it evokes now stems not from Ozymandias's achievements, but from their futility and impermanence. Similarly, the solipsism that lets Napoleon claim the entire world as himself devolves from being an expression of grandeur to one of existential loneliness, of solitude. Napoleon's hyperbolic identification with the landscape could have been a symbol of his power, but instead signifies his powerlessness.

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