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There is a sentence from GoT: I'm to go north to the Wall. Are there any differences between the sentences:

I am to go north

I have to go north

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I have to go North

This is a common way of expressing obligation in modern English.

I am to go North.

This is a rare, possibly old-fashioned, or extra formal way to express future events that can't be avoided. Not so much obligation, but a certain future.

You are to be executed at dawn.
You have to be executed at dawn.

Comparing these. The second suggests that the speaker would try to stop the execution. The first doesn't carry that implication. A judge passing sentence would use the first expression.

People rarely talk like this, except when acting in films with an "old-world" theme.

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