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These are all translated as "idea" in English.

But I don't understand which context I should use each one in.

If I had to guess:

考え means an imagining of a solution or an understanding of something,

アイデア is the same as 考え

発想 means an idea that quickly came to mind

着想 not sure about this one, but i imagine it's similar to 発想

Can someone please explain the nuances?

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  • アイデア/アイディア: Idea in the sense of solution. Unlike English idea which has various meanings, アイデア in Japanese primarily refers to a concrete idea that can solve a certain problem.
  • 考え: It's often interchangeable with アイデア, but it has a broader meaning. 考え can also refer to someone's thoughts or opinions in general.
  • 発想: Rather than an idea itself, this tends to focus on the process of coming up with an new idea. Thus, you can say ~を発想する but not 発想がある. For example, brainstorming is a method of 発想. It can also refers to an overall tendency of thinking or seeing things. 子供らしい発想 refers to a childlike, flexible way of thinking things.
  • 着想: This is used only when you start a new project (business, research work, artistic work, etc). It's close to inspiration. For example, if you created a song after seeing a beautiful moon, you can say 美しい月を見てこの曲を着想した or 美しい月から着想を得てこの曲を作った.
  • +1, though I wonder if the usage 「その発想はなかった」 is an exception... – Darius Jahandarie May 2 at 19:23

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