Regarding Alexander having problems with western Europe terrain and persistent Romans... always remember, that Alexander conquered the region of later Baktria (today's Afghanistan) and subdued the very tough resistance there which would be comparable to what he'd have had to face in the west.
Pyrrhos was simply to impatient to fight the war against the Romans to the bitter end. He wanted quick and total victories. The famous Pyrrhic Victory is a product of Roman propaganda for the major part. Sure, he got losses, but Epeiros was not that far away. So his resupply situation was not that worse than the Roman one. Plus, the Romans needed trained troops, too. It's not liek they were born soldiers. The warwinning discipline and moral of the Romans was the result of training.
Hannibals unability to win his war was mostly because of his disastrous logistical situation. He was basically on his own in enemy territory with almost no supply lines. If you take that into your consideration, than it is astonishing how long he managed to keep on campaigning and winning battles one after another.
Coming back to Alexander: A commander with Alexander's persistence and tactical and strategical ability, combined with his superior logistical situation would've had quite a good change of reducing the memory of Rome to that of some obscure regional power that got wiped out without any greater problems.
But as usual in what-would-have-been-if-discussions, it's all pure speculation.
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