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This error appears when LaTeX does not understand one of the commands you have used.

[edit] Common Examples

Typo in a command:

The most common causes of such an error are simple typos. An example of such a typo is shown below, where you accidentally pressed Z instead of a when writing \alpha

A typo when writing $\alpha$ could be $\Zlpha$

This will give an error message of

main.tex, line 10

Undefined control sequence.

<<recently read> \Zlpha l.10 A typo when writing $\alpha$ could be $\Zlpha $ The control sequence at the end of the top line of your error message was never \def'ed. If you have misspelled it (e.g., `\hobx'), type `I' and the correct spelling (e.g., `I\hbox'). Otherwise just continue, and I'll forget about whatever was undefined. [1

These errors are easily spotted by humans but can cause LaTeX to get confused as to what is being asked.

Forgetting to load a package:

Another cause of such an error is when a specific package is needed use a certain command, but it is accidentally forgotten in the preamble. An example of this would be

I want to include a space after the word \LaTeX\xspace but I have forgotten to load the xspace package.

In this example, the document will fail to compile as LaTeX doesn't recognize the \xspace command. This is not a typo, as \xspace is a perfectly fine command. The problem is that you have forgotten to include \usepackage{xspace} in the preamble. When this line is included, the error message will disappear as LaTeX now knows how to interpret the \xspace command.

Backslash used in wrong place:

Another cause of an Undefined Control Sequence error is a backslash used inappropriately. This can happen particularly when writing file links as shown below.

An error will be generated if you write a file path as 

The issue is that when LaTeX sees a backslash \, it interprets what follows as a command. Here, there is no such command as \Users, so you will get an Undefined Control Sequence error. To avoid this, when writing text you should write a backslash as \backslash. For writing long file paths and urls, it may sometimes be more convenient to use the url package rather than writing \backslash every time.