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On Climax, Anadiplosis, and Gradatio
These are three related schemes that bear comparison to make it easier to distinguish between them. The essential feature of climax is the increasing magnitude or amplification in a series of related terms arranged in ascending sequence. Gradatio is one device of emphasizing the increasing order of magnitude, by repeating each term at the end of the clause in which it first appears and the beginning of the next clause. Thus you get a "staircase" parallel. The basic "unit"of a gradatio, the repetition of a word at the end of one clause and the beginning of the next, is known as anadiplosis when present as a stand-alone figure rather than as one step in a series.

Basic Definitions
Anadiplosis in Handlist of Rhetorical Devices
Anadiplosis in Silva Rhetoricae.
Climax in Handlist of Rhetorical Devices.
Climax in Silva Rhetoricae.

Corbett and Connors 392-393: Anadiplosis: Repetition of the last word of one clause at the beginning of the following clause. Climax: Arrangement of words, phrases, or clauses in an order of increasing importance..
Notes on Gradatio
Gradatio and climax are often treated as synonyms. Notice, for instance, that Silva Rhetoricae subsumes gradatio into its definition of climax. This, however, leaves no way to distinguish simple climax, any series of words in increasing order of magnitude, from the kind that also involves anadiplosis. For this special case of climax we reserve use of the term gradatio.

Illustrations

Simple Climax Veni vidi vici("I came, I saw, I conquered")
Anadiplosis
Gradatio "Who controls Berlin, controls Germany; who controls Germany controls Europe; who controls Europe controls the world" (qtd. in Burke 57-58). See "Burke Roadmap" for more discussion.
References
Burke, Kenneth. A Rhetoric of Motives. Berkeley: U of California P, 1969.
Corbett, Edward P. J. and Robert J. Connors. Classical Rhetoric for the Modern Student. 4th ed. New York: Oxford UP, 1999.