I wonder if sublimation can be done only on certain substances like iodine, or it can be done on all substances.
In other words, can sublimation be done, for example, on water? If it cannot, then why?
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Look up the term “phase diagram”. At different temperatures and pressures different phases are favored. Think about water. At 0 °C and 1 atm water and ice are equally favorable. There can be freezing or melting. At other temperatures and pressures there can be sublimation and deposition.
The sublimation of water is involved in freeze drying and freezer burn of ice cream.
It turns out that iodine sublimes at room temperature and atmospheric pressure but there’s nothing special about iodine compared to other substances on a fundamental level.
Sublimation refers to molecules passing from the solid to the gas state without going through the liquid state. This happens all the time to every solid, including water, it's just a question of at what rate it sublimes and how that rate compares to its rate of melting in the same conditions.
Snow, for example, often noticeably sublimes instead of melting, especially when in sunlight only a few degrees above freezing temperature. It is more prone to sublime than ice is due to its lower density, which allows air to pass into it and warm more than just the surface.
The reason iodine, for example, so noticeably sublimes is because at normal temperature and pressure it cannot exist for more than an infinitesimal amount of time in the liquid state. There are regions in the phase diagrams of most substances where the liquid state cannot exist in equilibrium with either the solid or gas state when temperature or pressure changes.
For water, this is at very low pressure, below 1/100 of normal atmospheric pressure. When you heat ice at this pressure, it will go directly to gas without being in the liquid state in any appreciable amount.