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They are all different things, but interlinked. Sonata form can be thought of as more like a building block in the sense that it would generally be used as the structure for one single movement within a larger work - for example, a movement from a concerto or a symphony (this is something concertos and symphonies have in common). Every standard symphony from the classical era onwards will have a first movement written in sonata form, and often the finale (final movement) will also be in sonata form. Concertos from the classical era onwards will also generally have a first movement based on sonata form, although the structure is somewhat different due to the movement obviously being scored for a soloist as well as an orchestra (that is basically the definition of concerto - a work featuring a soloist and orchestra of some description), which means a there will be a double exposition, usually with first the orchestra (tutti) playing at the beginning of the exposition, then the solo instrument.

Of course, I have assumed you mean 'sonata form', rather than the 'sonata' as in a work for one or two instrumentalists, generally with several movements, out of which at least one (but not all) is a sonata form movement, usually the first movement. If you are talking about this meaning of sonata, then it has something in common with the concerto, as both feature a soloist, but a concerto will also feature an orchestra, whereas in a sonata the soloist would perhaps be accompanied by a piano, harpsichord, etc., but certainly not by an orchestra. It also has something in common with the symphony, since they both use sonata form for at least one movement; however, the sonata is quite a different thing to the symphony.

To sum up, it depends which way you look at it. Concertos and symphonies are both multi-movement works which use sonata form for at least one movement, so they have that in common. However, the orchestra in a symphony would generally be quite a bit larger than a concerto, particularly a classical era concerto, as otherwise the soloist would be overpowered. Sonata form ties everything together, but it is different to concertos and symphonies as it is the structure of a single movement, not a multi-movement work, and a sonata has some similarities to the concerto, as outlined above, but few to the symphony.

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Q: What do sonata concerto and symphony have in common?
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