Whoa this was mind-blowing.
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SPOILERS
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So in my opinion, MC experienced several traumas which caused him to have many regrets and loose his mind in a sense that he became somewhat of a schizo. He created an other personality (or personalities!), an other "reality" where he did everything which he didn't dare in the original reality and as he went along in the timeline the two personality merged together so much that the two personalities' memory was no longer distinguishable from which was real and which not. There are several signs pointing towards him questioning the meaning of reality itself, and at the end he can't decide, or so to say, he accepts that reality is different for everyone, and reality is only exist in the moment you "look at it".
The ending could be understood in 2 ways mainly I think, one is the literal explanation the "alien" gives: MC was a dead mountain-climber with half of his brain artificial that caused him to have split personality cause "AI" brain started to have self-consciousness.
The other way (which I believe is the true one) is that MC's consciousness was dying and all his memories and "what if-s" flashed in front of him before his (consciousness') death. I think the 2 train-line to the sky and back is also a symbol of the overhanging death, just like the melting/disappearing world, and even him being sucked into a "black hole" and space is like dying... and the alien "NI" is also MC, but his unconsciousness which realized death sooner and tries to signal to his consciousness, or making him understand...
The story shows the things as MC understands, from his point of view, so he himself not necessarily understood what was happening with him. Schizophrenics don't know (in most cases) that they are schizos, or which things they hallucinate are real. The alien shows 2 pictures at the end, and says that he only knows that those persons were real for sure. Which means that example his parents are not necessarily existed, they might have been absent (he might as well have been living only with his grandpa until he died and turned into an orphan).
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I must say this was truly well written, it is a good story to take it apart to analyze it.
The Planet Walks Alone