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State diagrams are good at describing the behavior of an object across several use cases.
State diagrams are not very good at describing behavior that involves a number of objects collaborating (think sequence diagrams instead.)
Not everyone finds state diagrams natural - remember to use the mix of techniques that works for your team/audience.
Do not draw state diagrams for every class in the system...
...use state diagrams only for classes that exhibit interesting behavior...
...UI and control objects often have the right kind of behavior for a state diagram.
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