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I wonder whether this is true in the categories of groups, monoids, commutative algebras, associative algebras, Lie algebras?

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It is not true in the variety of groups generated by $S_3$. – Mark Sapir Mar 9 2012 at 17:32
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There's a literature on rectracts of polynomial rings, which is referenced in this answer: mathoverflow.net/questions/55931/… – Charles Rezk Mar 9 2012 at 17:33
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In any category $\mathcal{C}$ on $Set$, If "any projactive object is free" then "any retract of a a free object is free" (where an object $X$ is free on $S$ if represent the co-presheav $X\mapsto \mathcal{C}(S, |X|)$ where $X\mapsto |X|$ is the canonical functor on $Set$. we have the inverse implication if the funtor $X\mapsto |X|$ has a left adjoint $L$ and the counit $L(|X|)\to X$ is (puntually) a epimorphism. – Buschi Sergio Mar 9 2012 at 20:34
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So the question basically asks when "free = projective". – Martin Brandenburg Mar 9 2012 at 20:59
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@Charles. One can see from Costa, Douglas L. Retracts of polynomial rings. J. Algebra 44 (1977), no. 2, 492–502. that in 1977 it was unknown whether every retract of $K[X_1,\ldots,X_n]$ is a polynomial ring, where $K$ is a field: The author shows that an affirmative answer to this question would solve the well-known cancellation problem for polynomial rings over fields. Is it still unknown?!! – Victor Mar 9 2012 at 21:53
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A retract of a finitely generated free monoid is free even though submonoids need not be free. I don't know about the infinitely generated case.

Edit: infinitely generated seems ok. The fg case I saw in an automata theory book but I see a general proof.

Added: here is the proof. Let P be a projective monoid (retract of free). Since it is a submonoid of a free monoid it has a unique minimal generating set Y consisting of the elements which are irreducible. Consider the map from the free monoid on Y to P sending generator to generator. Since P is projective it must split. But since elements of Y are irreducible their only preimages are the corresponding generators in the free monoid. Thus the splitting is an inverse to the projection.

Added: It seems to me the above proof works verbatim for free commutative monoids and more generally relatively free monoids in varieties containing all commutative monoids.

Added: Theorem 7 of http://arxiv.org/pdf/math/9711202.pdf seems to imply retracts of free non-associative algebras are free.

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About your last paragraph (free associative case): as the beginning of Section 2.2 says, it is applicable in various non-associative case only, unfortunately. – Vladimir Dotsenko Mar 10 2012 at 16:51
@Vladimir, thanks! I should have read it more carefully. I will fix the entry. – Benjamin Steinberg Mar 10 2012 at 18:46
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The answer is yes in the category of groups. Suppose that $f: G \to H$ is a retraction with $G$ a free group. Then there is a homomorphism $g: H \to G$ such that $fg = \mathrm{id}_H$. Thus $g$ is injective and hence embeds $H$ isomorphically as a subgroup of $G$. But any subgroup of a free group is free, so $H$ must be free. The same proof works in the category of abelian groups also.

Edit: the same proof will work anytime you have the theorem that a subobject of a free object is free, I think. I don't know if that is true in the other categories that you mention.

Further edit: this property can fail even in very nice categories. For example, let $k$ be a field and consider the matrix algebra $M_n(k)$. In the category of finitely generated modules over $M_n(k)$, $M_n(k)$ itself is a direct sum of $n$ copies of $k^n$, but $k^n$ is not free over $M_n(k)$.

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The same argument works for Lie algebras. – Mariano Suárez-Alvarez Mar 9 2012 at 17:37
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The last example can be generalized as follows: in the category of $R$-modules ($R$ a unital ring), the retracts of free objects are precisely the projective modules. – Qiaochu Yuan Mar 9 2012 at 20:48

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