-- Lean 4 proof step from Mathlib.MeasureTheory.Covering.Vitali (goal)
Goal:
α : Type u_1
ι : Type u_2
inst : PseudoMetricSpace α
inst_1 : MeasurableSpace α
inst_2 : OpensMeasurableSpace α
inst_3 : SecondCountableTopology α
μ : Measure α
inst_4 : IsLocallyFiniteMeasure μ
s : Set α
t : Set ι
C : ℝ≥0
r : ι → ℝ
c : ι → α
B : ι → Set α
hB : ∀ a ∈ t, B a ⊆ closedBall (c a) (r a)
μB :
  ∀ a ∈ t,
    (μ : (a : Set α) → ℝ≥0∞) (closedBall (c a) (3 * r a)) ≤
      HMul.hMul (β := ℝ≥0∞) (↑C : ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (B a) : ℝ≥0∞)
ht : ∀ a ∈ t, (interior (B a)).Nonempty
h't : ∀ a ∈ t, IsClosed[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] (B a)
hf : ∀ x ∈ s, ∀ ε > 0, ∃ a ∈ t, r a ≤ ε ∧ c a = x
choose choose₁ choose₂ :
  ∀
    (this :
      ∀ (x : α),
        ∃ (R : ℝ),
          0 < R ∧ R ≤ 1 ∧ LT.lt (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (closedBall x (20 * R)) : ℝ≥0∞) (∞ : ℝ≥0∞)),
    ∃ u ⊆ t,
      u.Countable ∧
        u.PairwiseDisjoint B ∧ Eq (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (s \ ⋃ a ∈ u, B a) : ℝ≥0∞) (0 : ℝ≥0∞)
choose₃ choose₄ :
  ∀ (R : (x : α) → ℝ) (hR0 : ∀ (x : α), 0 < R x) (hR1 : ∀ (x : α), R x ≤ 1)
    (hRμ : ∀ (x : α), LT.lt (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (closedBall x (20 * R x)) : ℝ≥0∞) (∞ : ℝ≥0∞)),
    ∃ u ⊆ t,
      u.Countable ∧
        u.PairwiseDisjoint B ∧ Eq (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (s \ ⋃ a ∈ u, B a) : ℝ≥0∞) (0 : ℝ≥0∞)
choose₅ :
  ∀ (R : (x : α) → ℝ) (hR0 : ∀ (x : α), 0 < R x) (hR1 : ∀ (x : α), R x ≤ 1)
    (hRμ : ∀ (x : α), LT.lt (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (closedBall x (20 * R x)) : ℝ≥0∞) (∞ : ℝ≥0∞)),
    let t' : Set ι := {a : ι | a ∈ t ∧ r a ≤ R (c a)};
    ∀ (u : Set ι) (ut' : u ⊆ t') (u_disj : u.PairwiseDisjoint B)
      (hu : ∀ a ∈ t', ∃ b ∈ u, (B a ∩ B b).Nonempty ∧ r a ≤ 2 * r b),
      ∃ u ⊆ t,
        u.Countable ∧
          u.PairwiseDisjoint B ∧ Eq (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (s \ ⋃ a ∈ u, B a) : ℝ≥0∞) (0 : ℝ≥0∞)
choose₆ :
  ∀ (R : (x : α) → ℝ) (hR0 : ∀ (x : α), 0 < R x) (hR1 : ∀ (x : α), R x ≤ 1)
    (hRμ : ∀ (x : α), LT.lt (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (closedBall x (20 * R x)) : ℝ≥0∞) (∞ : ℝ≥0∞)),
    let t' : Set ι := {a : ι | a ∈ t ∧ r a ≤ R (c a)};
    ∀ (u : Set ι) (ut' : u ⊆ t') (u_disj : u.PairwiseDisjoint B)
      (hu : ∀ a ∈ t', ∃ b ∈ u, (B a ∩ B b).Nonempty ∧ r a ≤ 2 * r b) (ut : u ⊆ t),
      ∃ u ⊆ t,
        u.Countable ∧
          u.PairwiseDisjoint B ∧ Eq (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (s \ ⋃ a ∈ u, B a) : ℝ≥0∞) (0 : ℝ≥0∞)
⊢ ∃ u ⊆ t,
    u.Countable ∧ u.PairwiseDisjoint B ∧ Eq (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (s \ ⋃ a ∈ u, B a) : ℝ≥0∞) (0 : ℝ≥0∞)
have choose₇ : ∀ (R : (x : α) → ℝ) (hR0 : ∀ (x : α), 0 < R x) (hR1 : ∀ (x : α), R x ≤ 1)
  (hRμ : ∀ (x : α), LT.lt (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (closedBall x (20 * R x)) : ℝ≥0∞) (∞ : ℝ≥0∞)),
  let t' : Set ι := {a : ι | a ∈ t ∧ r a ≤ R (c a)};
  ∀ (u : Set ι) (ut' : u ⊆ t') (u_disj : u.PairwiseDisjoint B)
    (hu : ∀ a ∈ t', ∃ b ∈ u, (B a ∩ B b).Nonempty ∧ r a ≤ 2 * r b) (ut : u ⊆ t) (u_count : u.Countable),
    ∃ u ⊆ t,
      u.Countable ∧
        u.PairwiseDisjoint B ∧ Eq (α := ℝ≥0∞) ((μ : (a : Set α) → ℝ≥0∞) (s \ ⋃ a ∈ u, B a) : ℝ≥0∞) (0 : ℝ≥0∞)
Tactic: classical
  -- choose around each `x` a small ball on which the measure is finite
  have : ∀ x, ∃ R, 0 < R ∧ R ≤ 1 ∧ μ (closedBall x (20 * R)) < ∞ := fun x ↦ by
    refine ((eventually_le_nhds one_pos).and ?_).exists_gt
    refine (tendsto_closedBall_smallSets x).comp ?_ (μ.finiteAt_nhds x).eventually
    exact Continuous.tendsto' (by fun_prop) _ _ (mul_zero _)
  choose R hR0 hR1 hRμ using this
  -- we restrict to a subfamily `t'` of `t`, made of elements small enough to ensure that
  -- they only see a finite part of the measure, and with a doubling property
  let t' := { a ∈ t | r a ≤ R (c a) }
  -- extract a disjoint subfamily `u` of `t'` thanks to the abstract Vitali covering theorem.
  obtain ⟨u, ut', u_disj, hu⟩ : ∃ u ⊆ t',
      u.PairwiseDisjoint B ∧ ∀ a ∈ t', ∃ b ∈ u, (B a ∩ B b).Nonempty ∧ r a ≤ 2 * r b := by
    have A : ∀ a ∈ t', r a ≤ 1 := by
      intro a ha
      apply ha.2.trans (hR1 (c a))
    have A' : ∀ a ∈ t', (B a).Nonempty :=
      fun a hat' => Set.Nonempty.mono interior_subset (ht a hat'.1)
    refine exists_disjoint_subfamily_covering_enlargement
      B t' r 2 one_lt_two (fun a ha => ?_) 1 A A'
    exact nonempty_closedBall.1 ((A' a ha).mono (hB a ha.1))
  have ut : u ⊆ t := fun a hau => (ut' hau).1
  -- As the space is second countable, the family is countable since all its sets have nonempty
  -- interior.
  have u_count : u.Countable := u_disj.countable_of_nonempty_interior fun a ha => ht a (ut ha)
  -- the family `u` will be the desired family
  refine ⟨u, fun a hat' => (ut' hat').1, u_count, u_disj, ?_⟩
  -- it suffices to show that it covers almost all `s` locally around each point `x`.
  refine measure_null_of_locally_null _ fun x _ => ?_
  -- let `v` be the subfamily of `u` made of those sets intersecting the small ball `ball x (r x)`
  let v := { a ∈ u | (B a ∩ ball x (R x)).Nonempty }
  have vu : v ⊆ u := fun a ha => ha.1
  -- they are all contained in a fixed ball of finite measure, thanks to our choice of `t'`
  obtain ⟨K, μK, hK⟩ : ∃ K, μ (closedBall x K) < ∞ ∧
      ∀ a ∈ u, (B a ∩ ball x (R x)).Nonempty → B a ⊆ closedBall x K := by
    have Idist_v : ∀ a ∈ v, dist (c a) x ≤ r a + R x := by
      intro a hav
      apply dist_le_add_of_nonempty_closedBall_inter_closedBall
      refine hav.2.mono ?_
      gcongr
      exacts [hB a (ut (vu hav)), ball_subset_closedBall]
    set R0 := sSup (r '' v) with R0_def
    have R0_bdd : BddAbove (r '' v) := by
      refine ⟨1, fun r' hr' => ?_⟩
      rcases (mem_image _ _ _).1 hr' with ⟨b, hb, rfl⟩
      exact le_trans (ut' (vu hb)).2 (hR1 (c b))
    rcases le_total R0 (R x) with (H | H)
    · refine ⟨20 * R x, hRμ x, fun a au hax => ?_⟩
      refine (hB a (ut au)).trans ?_
      apply closedBall_subset_closedBall'
      have : r a ≤ R0 := le_csSup R0_bdd (mem_image_of_mem _ ⟨au, hax⟩)
      linarith [Idist_v a ⟨au, hax⟩, hR0 x]
    · have R0pos : 0 < R0 := (hR0 x).trans_le H
      have vnonempty : v.Nonempty := by
        by_contra h
        rw [nonempty_iff_ne_empty, Classical.not_not] at h
        rw [h, image_empty, Real.sSup_empty] at R0_def
        exact lt_irrefl _ (R0pos.trans_le (le_of_eq R0_def))
      obtain ⟨a, hav, R0a⟩ : ∃ a ∈ v, R0 / 2 < r a := by
        obtain ⟨r', r'mem, hr'⟩ : ∃ r' ∈ r '' v, R0 / 2 < r' :=
          exists_lt_of_lt_csSup (vnonempty.image _) (half_lt_self R0pos)
        rcases (mem_image _ _ _).1 r'mem with ⟨a, hav, rfl⟩
        exact ⟨a, hav, hr'⟩
      refine ⟨8 * R0, ?_, ?_⟩
      · apply lt_of_le_of_lt (measure_mono _) (hRμ (c a))
        apply closedBall_subset_closedBall'
        rw [dist_comm]
        linarith [Idist_v a hav, (ut' (vu hav)).2]
      · intro b bu hbx
        refine (hB b (ut bu)).trans ?_
        apply closedBall_subset_closedBall'
        have : r b ≤ R0 := le_csSup R0_bdd (mem_image_of_mem _ ⟨bu, hbx⟩)
        linarith [Idist_v b ⟨bu, hbx⟩]
  -- we will show that, in `ball x (R x)`, almost all `s` is covered by the family `u`.
  refine ⟨_ ∩ ball x (R x), inter_mem_nhdsWithin _ (ball_mem_nhds _ (hR0 _)),
    nonpos_iff_eq_zero.mp (le_of_forall_gt_imp_ge_of_dense fun ε εpos => ?_)⟩
  -- the elements of `v` are disjoint and all contained in a finite volume ball, hence the sum
  -- of their measures is finite.
  have I : (∑' a : v, μ (B a)) < ∞ := by
    calc
      (∑' a : v, μ (B a)) = μ (⋃ a ∈ v, B a) := by
        rw [measure_biUnion (u_count.mono vu) _ fun a ha => (h't _ (vu.trans ut ha)).measurableSet]
        exact u_disj.subset vu
      _ ≤ μ (closedBall x K) := (measure_mono (iUnion₂_subset fun a ha => hK a (vu ha) ha.2))
      _ < ∞ := μK
  -- we can obtain a finite subfamily of `v`, such that the measures of the remaining elements
  -- add up to an arbitrarily small number, say `ε / C`.
  obtain ⟨w, hw⟩ : ∃ w : Finset v, (∑' a : { a // a ∉ w }, μ (B a)) < ε / C :=
    haveI : 0 < ε / C := by
      simp only [ENNReal.div_pos_iff, εpos.ne', ENNReal.coe_ne_top, Ne, not_false_iff,
        and_self_iff]
    ((tendsto_order.1 (ENNReal.tendsto_tsum_compl_atTop_zero I.ne)).2 _ this).exists
  -- main property: the points `z` of `s` which are not covered by `u` are contained in the
  -- enlargements of the elements not in `w`.
  have M : (s \ ⋃ a ∈ u, B a) ∩
      ball x (R x) ⊆ ⋃ a : { a // a ∉ w }, closedBall (c a) (3 * r a) := by
    intro z hz
    set k := ⋃ (a : v) (_ : a ∈ w), B a
    have k_closed : IsClosed k := isClosed_biUnion_finset fun i _ => h't _ (ut (vu i.2))
    have z_notmem_k : z ∉ k := by
      simp only [k, not_exists, exists_prop, mem_iUnion, forall_exists_index,
        SetCoe.exists, not_and, exists_and_right]
      intro b hbv _ h'z
      have : z ∈ (s \ ⋃ a ∈ u, B a) ∩ ⋃ a ∈ u, B a :=
        mem_inter (mem_of_mem_inter_left hz) (mem_biUnion (vu hbv) h'z)
      simpa only [diff_inter_self]
    -- since the elements of `w` are closed and finitely many, one can find a small ball around `z`
    -- not intersecting them
    have : ball x (R x) \ k ∈ 𝓝 z := by
      apply IsOpen.mem_nhds (isOpen_ball.sdiff k_closed) _
      exact (mem_diff _).2 ⟨mem_of_mem_inter_right hz, z_notmem_k⟩
    obtain ⟨d, dpos, hd⟩ : ∃ d, 0 < d ∧ closedBall z d ⊆ ball x (R x) \ k :=
      nhds_basis_closedBall.mem_iff.1 this
    -- choose an element `a` of the family `t` contained in this small ball
    obtain ⟨a, hat, ad, rfl⟩ : ∃ a ∈ t, r a ≤ min d (R z) ∧ c a = z :=
      hf z ((mem_diff _).1 (mem_of_mem_inter_left hz)).1 (min d (R z)) (lt_min dpos (hR0 z))
    have ax : B a ⊆ ball x (R x) := by
      refine (hB a hat).trans ?_
      refine Subset.trans ?_ (hd.trans Set.diff_subset)
      gcongr
      exact ad.trans (min_le_left _ _)
    -- it intersects an element `b` of `u` with comparable diameter, by definition of `u`
    obtain ⟨b, bu, ab, bdiam⟩ : ∃ b ∈ u, (B a ∩ B b).Nonempty ∧ r a ≤ 2 * r b :=
      hu a ⟨hat, ad.trans (min_le_right _ _)⟩
    have bv : b ∈ v := by
      refine ⟨bu, ab.mono ?_⟩
      rw [inter_comm]
      exact inter_subset_inter_right _ ax
    let b' : v := ⟨b, bv⟩
    -- `b` cannot belong to `w`, as the elements of `w` do not intersect `closedBall z d`,
    -- contrary to `b`
    have b'_notmem_w : b' ∉ w := by
      intro b'w
      have b'k : B b' ⊆ k := @Finset.subset_set_biUnion_of_mem _ _ _ (fun y : v => B y) _ b'w
      have : (ball x (R x) \ k ∩ k).Nonempty := by
        apply ab.mono (inter_subset_inter _ b'k)
        refine ((hB _ hat).trans ?_).trans hd
        gcongr
        exact ad.trans (min_le_left _ _)
      simpa only [diff_inter_self, Set.not_nonempty_empty]
    let b'' : { a // a ∉ w } := ⟨b', b'_notmem_w⟩
    -- since `a` and `b` have comparable diameters, it follows that `z` belongs to the
    -- enlargement of `b`
    have zb : c a ∈ closedBall (c b) (3 * r b) := by
      rcases ab with ⟨e, ⟨ea, eb⟩⟩
      have A : dist (c a) e ≤ r a := mem_closedBall'.1 (hB a hat ea)
      have B : dist e (c b) ≤ r b := mem_closedBall.1 (hB b (ut bu) eb)
      simp only [mem_closedBall]
      linarith only [dist_triangle (c a) e (c b), A, B, bdiam]
    suffices H : closedBall (c b'') (3 * r b'')
        ⊆ ⋃ a : { a // a ∉ w }, closedBall (c a) (3 * r a) from H zb
    exact subset_iUnion (fun a : { a // a ∉ w } => closedBall (c a) (3 * r a)) b''
  -- now that we have proved our main inclusion, we can use it to estimate the measure of the points
  -- in `ball x (r x)` not covered by `u`.
  haveI : Countable v := (u_count.mono vu).to_subtype
  calc
    μ ((s \ ⋃ a ∈ u, B a) ∩ ball x (R x)) ≤ μ (⋃ a : { a // a ∉ w }, closedBall (c a) (3 * r a)) :=
      measure_mono M
    _ ≤ ∑' a : { a // a ∉ w }, μ (closedBall (c a) (3 * r a)) := measure_iUnion_le _
    _ ≤ ∑' a : { a // a ∉ w }, C * μ (B a) := (ENNReal.tsum_le_tsum fun a => μB a (ut (vu a.1.2)))
    _ = C * ∑' a : { a // a ∉ w }, μ (B a) := ENNReal.tsum_mul_left
    _ ≤ C * (ε / C) := by gcongr
    _ ≤ ε := ENNReal.mul_div_le