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Such megastructures could have a variety of advantages over natural planets, such as efficient use of solar energy and immense living space, but their construction and/or maintenance would require technologies much in advance than that of 21st-century Earth.
It was often stated, that it is more possible to build a 2-gigaton Dyson sphere than a laser rifle, but still ringworlds etc. are treated in sci-fi as symbol of immense power, often relic of Precursor civilization or symbol of all-powerful future empire.
Examples of artificial worlds include:
In Douglas Adams' Hitchhiker's Guide To The Galaxy, an advanced race referred to as the Magratheans designed and built planets for the wealthy inhabitants of the galaxy, and the book went on to theorize that the Magratheans also designed and built Earth.