-- Module: Mathlib.Analysis.Calculus.FDeriv.Measurable
Goal:
F : Type u_1
inst : NormedAddCommGroup F
inst_1 : NormedSpace ℝ F
f : ℝ → F
K : Set F
hK : IsComplete K
P : ∀ {n : ℕ}, 0 < (1 / 2) ^ n
x : ℝ
hx : x ∈ D f K
n : (e : ℕ) → ℕ
L : (e p q : ℕ) → F
hn :
  ∀ (e p q : ℕ),
    n e ≤ p →
      n e ≤ q → L e p q ∈ K ∧ x ∈ A f (L e p q) ((1 / 2) ^ p) ((1 / 2) ^ e) ∩ A f (L e p q) ((1 / 2) ^ q) ((1 / 2) ^ e)
M :
  ∀ (e p q e' p' q' : ℕ), n e ≤ p → n e ≤ q → n e' ≤ p' → n e' ≤ q' → e ≤ e' → ‖L e p q - L e' p' q'‖ ≤ 12 * (1 / 2) ^ e
L0 : ℕ → F := fun (e : ℕ) ↦ L e (n e) (n e)
this : CauchySeq L0
f' : F
f'K : f' ∈ K
hf' : Tendsto L0 atTop (𝓝 f')
Lf' : ∀ (e p : ℕ), n e ≤ p → ‖L e (n e) p - f'‖ ≤ 12 * (1 / 2) ^ e
⊢ HasDerivWithinAt f f' (Ici x) x

Tactic:
have : HasDerivWithinAt f f' (Ici x) x := by
    simp only [hasDerivWithinAt_iff_isLittleO, isLittleO_iff]
    /- to get an approximation with a precision `ε`, we will replace `f` with `L e (n e) m` for
      some large enough `e` (yielding a small error by uniform approximation). As one can vary `m`,
      this makes it possible to cover all scales, and thus to obtain a good linear approximation in
      the whole interval of length `(1/2)^(n e)`. -/
    intro ε εpos
    obtain ⟨e, he⟩ : ∃ e : ℕ, (1 / 2) ^ e < ε / 16 :=
      exists_pow_lt_of_lt_one (div_pos εpos (by norm_num)) (by norm_num)
    filter_upwards [Icc_mem_nhdsGE <| show x < x + (1 / 2) ^ (n e + 1) by simp] with y hy
    -- We need to show that `f y - f x - f' (y - x)` is small. For this, we will work at scale
    -- `k` where `k` is chosen with `‖y - x‖ ∼ 2 ^ (-k)`.
    rcases eq_or_lt_of_le hy.1 with (rfl | xy)
    · simp only [sub_self, zero_smul, norm_zero, mul_zero, le_rfl]
    have yzero : 0 < y - x := sub_pos.2 xy
    have y_le : y - x ≤ (1 / 2) ^ (n e + 1) := by linarith [hy.2]
    have yone : y - x ≤ 1 := le_trans y_le (pow_le_one₀ (by norm_num) (by norm_num))
    -- define the scale `k`.
    obtain ⟨k, hk, h'k⟩ : ∃ k : ℕ, (1 / 2) ^ (k + 1) < y - x ∧ y - x ≤ (1 / 2) ^ k :=
      exists_nat_pow_near_of_lt_one yzero yone (by norm_num : (0 : ℝ) < 1 / 2)
        (by norm_num : (1 : ℝ) / 2 < 1)
    -- the scale is large enough (as `y - x` is small enough)
    have k_gt : n e < k := by
      have : ((1 : ℝ) / 2) ^ (k + 1) < (1 / 2) ^ (n e + 1) := lt_of_lt_of_le hk y_le
      rw [pow_lt_pow_iff_right_of_lt_one₀ (by norm_num : (0 : ℝ) < 1 / 2) (by norm_num)] at this
      lia
    set m := k - 1
    have m_ge : n e ≤ m := Nat.le_sub_one_of_lt k_gt
    have km : k = m + 1 := (Nat.succ_pred_eq_of_pos k_gt.pos).symm
    rw [km] at hk h'k
    -- `f` is well approximated by `L e (n e) k` at the relevant scale
    -- (in fact, we use `m = k - 1` instead of `k` because of the precise definition of `A`).
    have J : ‖f y - f x - (y - x) • L e (n e) m‖ ≤ 4 * (1 / 2) ^ e * ‖y - x‖ :=
      calc
        ‖f y - f x - (y - x) • L e (n e) m‖ ≤ (1 / 2) ^ e * (1 / 2) ^ m := by
          apply le_of_mem_A (hn e (n e) m le_rfl m_ge).2.2
          · simp only [one_div, inv_pow, left_mem_Icc, le_add_iff_nonneg_right]
            positivity
          · simp only [pow_add, tsub_le_iff_left] at h'k
            simpa only [hy.1, mem_Icc, true_and, one_div, pow_one] using h'k
        _ = 4 * (1 / 2) ^ e * (1 / 2) ^ (m + 2) := by ring
        _ ≤ 4 * (1 / 2) ^ e * (y - x) := by gcongr
        _ = 4 * (1 / 2) ^ e * ‖y - x‖ := by rw [Real.norm_of_nonneg yzero.le]
    calc
      ‖f y - f x - (y - x) • f'‖ =
          ‖f y - f x - (y - x) • L e (n e) m + (y - x) • (L e (n e) m - f')‖ := by
        simp only [smul_sub, sub_add_sub_cancel]
      _ ≤ 4 * (1 / 2) ^ e * ‖y - x‖ + ‖y - x‖ * (12 * (1 / 2) ^ e) :=
        norm_add_le_of_le J <| by rw [norm_smul]; gcongr; exact Lf' _ _ m_ge
      _ = 16 * ‖y - x‖ * (1 / 2) ^ e := by ring
      _ ≤ 16 * ‖y - x‖ * (ε / 16) := by gcongr
      _ = ε * ‖y - x‖ := by ring