What is the difference between large object heap and GC 3rd generation objects?
Difference between 3rd gen objects and large object heap
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The LOH (Large Object Heap) is a single heap where large objects are allocated directly and stay there until they are collected. Objects are directly allocated into the LOH based on their size e.g. being equal or greater than 85000 bytes.
Generational objects are "small" objects that are allocated into the SOH (Small Object Heap) which is a single heap. Objects in the SOH have an associated generation which denotes how many collections they have survived up to the maximum generation e.g. 2. As the generation number starts at 0, an object in generation 2 could be described as 3rd generation as it has survived a minimum of 3 collections i.e. generations 0,1,2.
Generations helps to optimize garbage scanning. Long lived objects have their generation number increased as they survive collections, and generations with a higher number are scanned less frequently. This mechanism results in objects that are not short-lived being scanned less frequently and therefore unnecessarily. The generational scheme is applied to the SOH as it seen as a good optimization for a heap where there will be lots of objects.
Update
As far as I understand LOH objects are reported as being in the max generation, but I believe that this is just a default value. They are not actually in any generation i.e. generation 2 SOH objects and LOH objects are not in the same "list". However, as pointed out by @Henk, when performing a generation 2 collection, LOH objects are also collected at this time. So conceptually there is a relationship between generation 2 and the LOH. This is correct as of .Net 2.0:
See: Large Object Heap Uncovered
However, although the collection relationship is apparent, an example where it does not hold is generation compaction. When a generation is collected it may also be compacted. The LOH is not however compacted, so it cannot be said that everything that happens to generation 2 objects happens to the objects in the LOH.