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Just think of all the things that break on our current manned craft all the time. It would be too difficult to carry the tons of spare equipment needed, so the equipment on the Mars mission would need to last in the space environment and the Mars enviroment for years.
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I have two things to say about this statement. First, this is one of the reasons why manned craft are more reliable than their unmanned counterparts. There have been many equipment failures on spacecraft, most notably on Mir - but in all of them, humans have been able to repair the damage or maintain systems. The crew for a manned Mars mission undoubtedly would include one or two engineers, probably those who helped design the craft. There would be few problems that these engineers wouldn't be able to fix, and those that they couldn't fix would most likely not have derived solutions from lunar research. For example, a micrometeroid shattering a window and causing a depressurization would be deadly and dangerous, but I don't see what we could learn on the Moon about such a risk that we couldn't either plan ahead for or simply hope that it is too improbable to cause a serious risk. (e.g. In theory, the ISS could suddenly lose all its power due to a series of short circuits, but it is unlikely.)
Second is the statement about needing to develop procedures and test equipment on the Moon. Again, this is my point. Luna is very unlike Mars. The lunar surface is a vacuum, with a 28-day light/dark cycle and one-sixth G, as well as comparatively large amounts of solar radiation. While Earth is certainly far more hospitable than Mars, Mars is far more hosptiable than the Moon. For one thing, equipment on the Moon is subject to far greater stress from temperature than equipment on Mars. On the Moon, equipment or spacecraft will be in constant sunlight and then constant darkness for up to two weeks, with temperatures ranging from 250 degrees above Fahrenheit to 250 degrees below. On Mars, there is a 24 hour 37 minute day, close to Earth's. The temperature averages around 67 degrees below Fahrenheit. While cold, this is nowhere near as cold as the Moon can get, and is comparable to Antarctica. I would say that testing equipment in Antarctica would be far more useful to Mars-craft designers than testing it on Luna. The temperatures in Antarctica and Mars are similar, as is the day-night cycle. The radiation influx and atmospheric conditions, while different on Mars and Earth, are more alike than those on Mars and Luna. I cannot think of many spacecraft systems that would benefit from testing on Luna more so than testing in Antarctica.
Besides the equipment, the scientific procedures would also probably be tested before a Mars mission. But again, the types of science you could do in Antarctica, Alaska, or even Wyoming or Montana are far closer to the types of science you would do on Mars than anything you would do on Luna. Mars had a similar early history to Earth. Both had water, thick atmoshperes, and (possibly) life. The geological and hydrological processes Mars has undergone FAR more closely resemble what Earth has experienced than what Luna has experienced. And, needless to say, searching for extant life or liquid water on the Moon is impossible.
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Another concern I read about but hadn't thought of was medicine. The Apollo missions only lasted a few weeks at most, so illness wasn't too big a concern. But what happens to the Mars bound astronaut who develops appendicitis, or a fast acting cancer, or something else where you need a hospital? New medical equipment and maybe even procedures would need to be developed and tested.
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Again, this is not something we would benefit from by spending large amounts of time on the Moon. What "new medical equipment and procedures" could be or would need to be developed on the Moon? We know how to treat simple illnesses such as the flu or a cold. I don't see what we could learn on the Moon about it. And how would we know whether astronauts would get sick on the Moon or on a Mars journey? It would be on a completely indivdualistic basis. Do we simply sit around on the Moon and wait for someone to get sick? Even if an astronaut did develop a dangerous disease such as a cancer on the Moon, what knowledge would we gain there that would help on a Mars mission? A fast acting cancer or similarly deadly disease would be unfortunate, but is one of the myriad risks you have to accept in any space exploration. Space exploration is dangerous, but the benefits made it infinitely valuable.
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Also, the psychological aspects of the mission can be tested while the mission is removed from Earth. Sure, you could set up a biosphere here on Earth and stuff people in it for 18 months, but the rest of the world is right outside the walls. If you run a mission on the Moon, not only do you have the problem of "I quit, open the door" solved by 250k miles of vacuum, but the increased tension of the deadly Moon environment just outside the walls.
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And, once again, what would we be able to learn on Luna that would benefit this significantly? You are right. You can't just leave on Luna. Nor can you just leave on the Moon. But testing astronauts to see how long they stay sane simply makes no sense. To borrow a phrase from Robert Zubrin, to do that would be like training bomber pilots by having them fly through real flak. The risks of insanity are infintesimal. If it were to happen on the Moon or Mars, it would be terrible for the mission. But what could we learn on the Moon about long-term space stays that we could apply to Mars missions? The select crew of a Mars mission will be selected, among other reasons, for mental vigor. I don't see why they have to "go crazy" at some point in the mission. The cosmonauts of Mir, as I said, have spent up to 18 months there in good psychological health, and have not attempted to do anything that would be dangerous to their lives. "I quit, open the door" attitudes would not be what mission planners would look for in the first Mars crew. A highly motivated team of four scientists and engineers would not be likely to lost their sanity on a mission of science and exploration. Submarines are a decent example of isolation, but Mir showed that humans can and do endure up to eighteen months in space; and that was in zero-G with no opportunities for exploration of another world.
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So I think it shouldn't be 'only Mars' or 'only the Moon', but a plan using stations in orbit, test missions (and maybe a small base or two) on the Moon and then the long leap to Mars and beyond.
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I believe the two are spearate. The Moon is good for astronomy and mining helium-3 in the medium and long-term. But Mars offers an opportunity for a whole new branch of human civilization, with vast opportunities for science and for economical endeavors. Mars is a huge world, with practically unlimited possibilites for colonization, exploration, and science. The Moon does have a potential for colonies but not nearly anything of the caliber of what Mars offers, especially since the vast majority of the things needed to support life can be found on Mars; a Martian base could be self-sufficient.
So, while eventually we should colonize both the Moon and Mars, Mars is a vastly different world. Just because the Moon is closer does not mean that we have to spend many years there before voyaging to Mars. While we should expore both, they are separate worlds; it would not be beneficial to use the Moon as an "intermediate step" in a Mars program. It would be like using an ultralight aircraft to train for flying a jet; they are totally unrelated, even though they are both aircraft.