-- Mathlib/MeasureTheory/Function/Jacobian.lean
theorem exists_closed_cover_approximatesLinearOn_of_hasFDerivWithinAt [SecondCountableTopology F]
    (f : E → F) (s : Set E) (f' : E → E →L[ℝ] F) (hf' : ∀ x ∈ s, HasFDerivWithinAt f (f' x) s x)
    (r : (E →L[ℝ] F) → ℝ≥0) (rpos : ∀ A, r A ≠ 0) :
    ∃ (t : ℕ → Set E) (A : ℕ → E →L[ℝ] F),
      (∀ n, IsClosed (t n)) ∧
        (s ⊆ ⋃ n, t n) ∧
          (∀ n, ApproximatesLinearOn f (A n) (s ∩ t n) (r (A n))) ∧
            (s.Nonempty → ∀ n, ∃ y ∈ s, A n = f' y)

Proof state:
case intro.intro.intro
E : Type u_1
F : Type u_2
inst✝⁵ : NormedAddCommGroup E
inst✝⁴ : NormedSpace ℝ E
inst✝³ : FiniteDimensional ℝ E
inst✝² : NormedAddCommGroup F
inst✝¹ : NormedSpace ℝ F
inst✝ : SecondCountableTopology F
f : E → F
s : Set E
f' : E → E →L[ℝ] F
hf' : ∀ x ∈ s, HasFDerivWithinAt f (f' x) s x
r : (E →L[ℝ] F) → ℝ≥0
rpos : ∀ (A : E →L[ℝ] F), r A ≠ 0
hs : s.Nonempty
T : Set ↑s
T_count : T.Countable
hT : ⋃ x ∈ T, ball (f' ↑x) ↑(r (f' ↑x)) = ⋃ x, ball (f' ↑x) ↑(r (f' ↑x))
u : ℕ → ℝ
left✝ : StrictAnti u
u_pos : ∀ (n : ℕ), 0 < u n
u_lim : Tendsto u atTop (𝓝 0)
M : ℕ → ↑T → Set E :=
  fun n z => {x | x ∈ s ∧ ∀ y ∈ s ∩ ball x (u n), ‖f y - f x - (f' ↑↑z) (y - x)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - x‖}
s_subset : ∀ x ∈ s, ∃ n z, x ∈ M n z
n : ℕ
z : ↑T
x : E
xs : x ∈ s
hx : x ∈ closure (M n z)
y : E
hy : y ∈ s ∩ ball x (u n)
a : ℕ → E
aM : ∀ (k : ℕ), a k ∈ M n z
a_lim : Tendsto a atTop (𝓝 x)
L1 : Tendsto (fun k => ‖f y - f (a k) - (f' ↑↑z) (y - a k)‖) atTop (𝓝 ‖f y - f x - (f' ↑↑z) (y - x)‖)
L2 : Tendsto (fun k => ↑(r (f' ↑↑z)) * ‖y - a k‖) atTop (𝓝 (↑(r (f' ↑↑z)) * ‖y - x‖))
⊢ ‖f y - f x - (f' ↑↑z) (y - x)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - x‖

Tactic:
have I : ∀ᶠ k in atTop, ‖f y - f (a k) - (f' z) (y - a k)‖ ≤ r (f' z) * ‖y - a k‖ := by
  have L : Tendsto (fun k => dist y (a k)) atTop (𝓝 (dist y x)) :=
    tendsto_const_nhds.dist a_lim
  filter_upwards [(tendsto_order.1 L).2 _ hy.2]
  intro k hk
  exact (aM k).2 y ⟨hy.1, hk⟩

Result:
case intro.intro.intro
E : Type u_1
F : Type u_2
inst✝⁵ : NormedAddCommGroup E
inst✝⁴ : NormedSpace ℝ E
inst✝³ : FiniteDimensional ℝ E
inst✝² : NormedAddCommGroup F
inst✝¹ : NormedSpace ℝ F
inst✝ : SecondCountableTopology F
f : E → F
s : Set E
f' : E → E →L[ℝ] F
hf' : ∀ x ∈ s, HasFDerivWithinAt f (f' x) s x
r : (E →L[ℝ] F) → ℝ≥0
rpos : ∀ (A : E →L[ℝ] F), r A ≠ 0
hs : s.Nonempty
T : Set ↑s
T_count : T.Countable
hT : ⋃ x ∈ T, ball (f' ↑x) ↑(r (f' ↑x)) = ⋃ x, ball (f' ↑x) ↑(r (f' ↑x))
u : ℕ → ℝ
left✝ : StrictAnti u
u_pos : ∀ (n : ℕ), 0 < u n
u_lim : Tendsto u atTop (𝓝 0)
M : ℕ → ↑T → Set E :=
  fun n z => {x | x ∈ s ∧ ∀ y ∈ s ∩ ball x (u n), ‖f y - f x - (f' ↑↑z) (y - x)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - x‖}
s_subset : ∀ x ∈ s, ∃ n z, x ∈ M n z
n : ℕ
z : ↑T
x : E
xs : x ∈ s
hx : x ∈ closure (M n z)
y : E
hy : y ∈ s ∩ ball x (u n)
a : ℕ → E
aM : ∀ (k : ℕ), a k ∈ M n z
a_lim : Tendsto a atTop (𝓝 x)
L1 : Tendsto (fun k => ‖f y - f (a k) - (f' ↑↑z) (y - a k)‖) atTop (𝓝 ‖f y - f x - (f' ↑↑z) (y - x)‖)
L2 : Tendsto (fun k => ↑(r (f' ↑↑z)) * ‖y - a k‖) atTop (𝓝 (↑(r (f' ↑↑z)) * ‖y - x‖))
I : ∀ᶠ (k : ℕ) in atTop, ‖f y - f (a k) - (f' ↑↑z) (y - a k)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - a k‖
⊢ ‖f y - f x - (f' ↑↑z) (y - x)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - x‖

Proof state:
case inr.intro.intro.intro.intro.intro
E : Type u_1
F : Type u_2
inst✝⁵ : NormedAddCommGroup E
inst✝⁴ : NormedSpace ℝ E
inst✝³ : FiniteDimensional ℝ E
inst✝² : NormedAddCommGroup F
inst✝¹ : NormedSpace ℝ F
inst✝ : SecondCountableTopology F
f : E → F
s : Set E
f' : E → E →L[ℝ] F
hf' : ∀ x ∈ s, HasFDerivWithinAt f (f' x) s x
r : (E →L[ℝ] F) → ℝ≥0
rpos : ∀ (A : E →L[ℝ] F), r A ≠ 0
hs : s.Nonempty
T : Set ↑s
T_count : T.Countable
hT : ⋃ x ∈ T, ball (f' ↑x) ↑(r (f' ↑x)) = ⋃ x, ball (f' ↑x) ↑(r (f' ↑x))
u : ℕ → ℝ
left✝ : StrictAnti u
u_pos : ∀ (n : ℕ), 0 < u n
u_lim : Tendsto u atTop (𝓝 0)
M : ℕ → ↑T → Set E :=
  fun n z => {x | x ∈ s ∧ ∀ y ∈ s ∩ ball x (u n), ‖f y - f x - (f' ↑↑z) (y - x)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - x‖}
s_subset : ∀ x ∈ s, ∃ n z, x ∈ M n z
⊢ ∃ t A,
    (∀ (n : ℕ), IsClosed (t n)) ∧
      s ⊆ ⋃ n, t n ∧
        (∀ (n : ℕ), ApproximatesLinearOn f (A n) (s ∩ t n) (r (A n))) ∧ (s.Nonempty → ∀ (n : ℕ), ∃ y ∈ s, A n = f' y)

Tactic:
have closure_M_subset : ∀ n z, s ∩ closure (M n z) ⊆ M n z := by
  rintro n z x ⟨xs, hx⟩
  refine ⟨xs, fun y hy => ?_⟩
  obtain ⟨a, aM, a_lim⟩ : ∃ a : ℕ → E, (∀ k, a k ∈ M n z) ∧ Tendsto a atTop (𝓝 x) :=
    mem_closure_iff_seq_limit.1 hx
  have L1 :
    Tendsto (fun k : ℕ => ‖f y - f (a k) - (f' z) (y - a k)‖) atTop
      (𝓝 ‖f y - f x - (f' z) (y - x)‖) := by
    apply Tendsto.norm
    have L : Tendsto (fun k => f (a k)) atTop (𝓝 (f x)) := by
      apply (hf' x xs).continuousWithinAt.tendsto.comp
      apply tendsto_nhdsWithin_of_tendsto_nhds_of_eventually_within _ a_lim
      exact Eventually.of_forall fun k => (aM k).1
    apply Tendsto.sub (tendsto_const_nhds.sub L)
    exact ((f' z).continuous.tendsto _).comp (tendsto_const_nhds.sub a_lim)
  have L2 : Tendsto (fun k : ℕ => (r (f' z) : ℝ) * ‖y - a k‖) atTop (𝓝 (r (f' z) * ‖y - x‖)) :=
    (tendsto_const_nhds.sub a_lim).norm.const_mul _
  have I : ∀ᶠ k in atTop, ‖f y - f (a k) - (f' z) (y - a k)‖ ≤ r (f' z) * ‖y - a k‖ := by
    have L : Tendsto (fun k => dist y (a k)) atTop (𝓝 (dist y x)) :=
      tendsto_const_nhds.dist a_lim
    filter_upwards [(tendsto_order.1 L).2 _ hy.2]
    intro k hk
    exact (aM k).2 y ⟨hy.1, hk⟩
  exact le_of_tendsto_of_tendsto L1 L2 I

Result:
case inr.intro.intro.intro.intro.intro
E : Type u_1
F : Type u_2
inst✝⁵ : NormedAddCommGroup E
inst✝⁴ : NormedSpace ℝ E
inst✝³ : FiniteDimensional ℝ E
inst✝² : NormedAddCommGroup F
inst✝¹ : NormedSpace ℝ F
inst✝ : SecondCountableTopology F
f : E → F
s : Set E
f' : E → E →L[ℝ] F
hf' : ∀ x ∈ s, HasFDerivWithinAt f (f' x) s x
r : (E →L[ℝ] F) → ℝ≥0
rpos : ∀ (A : E →L[ℝ] F), r A ≠ 0
hs : s.Nonempty
T : Set ↑s
T_count : T.Countable
hT : ⋃ x ∈ T, ball (f' ↑x) ↑(r (f' ↑x)) = ⋃ x, ball (f' ↑x) ↑(r (f' ↑x))
u : ℕ → ℝ
left✝ : StrictAnti u
u_pos : ∀ (n : ℕ), 0 < u n
u_lim : Tendsto u atTop (𝓝 0)
M : ℕ → ↑T → Set E :=
  fun n z => {x | x ∈ s ∧ ∀ y ∈ s ∩ ball x (u n), ‖f y - f x - (f' ↑↑z) (y - x)‖ ≤ ↑(r (f' ↑↑z)) * ‖y - x‖}
s_subset : ∀ x ∈ s, ∃ n z, x ∈ M n z
closure_M_subset : ∀ (n : ℕ) (z : ↑T), s ∩ closure (M n z) ⊆ M n z
⊢ ∃ t A,
    (∀ (n : ℕ), IsClosed (t n)) ∧
      s ⊆ ⋃ n, t n ∧
        (∀ (n : ℕ), ApproximatesLinearOn f (A n) (s ∩ t n) (r (A n))) ∧ (s.Nonempty → ∀ (n : ℕ), ∃ y ∈ s, A n = f' y)