Davide, there's a book called Left Alone to Learn that you can find on Amazon or some other places that addresses the phenomenon you describe. It's hard because you can do all the right things but it doesn't make you feel better. I'm also busier now with social activities than I was in college but I still feel sad when I drive home or sit alone yet another night. It's great that you went to the gym and went biking. That's better than nothing, but still doesn't take away the pain! I want to read your full thread in the next day or two and will offer more comments.
