/-- A variant of Urysohn's lemma, `ℒ^p` version, for an outer regular measure `μ`:
consider two sets `s ⊆ u` which are respectively closed and open with `μ s < ∞`, and a vector `c`.
Then one may find a continuous function `f` equal to `c` on `s` and to `0` outside of `u`,
bounded by `‖c‖` everywhere, and such that the `ℒ^p` norm of `f - s.indicator (fun y ↦ c)` is
arbitrarily small. Additionally, this function `f` belongs to `ℒ^p`. -/
theorem exists_continuous_snorm_sub_le_of_closed [μ.OuterRegular] (hp : p ≠ ∞) {s u : Set α}
    (s_closed : IsClosed s) (u_open : IsOpen u) (hsu : s ⊆ u) (hs : μ s ≠ ∞) (c : E) {ε : ℝ≥0∞}
    (hε : ε ≠ 0) :
    ∃ f : α → E,
      Continuous f ∧
        snorm (fun x => f x - s.indicator (fun _y => c) x) p μ ≤ ε ∧
          (∀ x, ‖f x‖ ≤ ‖c‖) ∧ Function.support f ⊆ u ∧ Memℒp f p μ := by
  obtain ⟨η, η_pos, hη⟩ :
    ∃ η : ℝ≥0, 0 < η ∧ ∀ s : Set α, μ s ≤ η → snorm (s.indicator fun _x => c) p μ ≤ ε
  exact exists_snorm_indicator_le hp c hε
  have ηpos : (0 : ℝ≥0∞) < η := ENNReal.coe_lt_coe.2 η_pos
  obtain ⟨V, sV, V_open, h'V, hV⟩ : ∃ (V : Set α), V ⊇ s ∧ IsOpen V ∧ μ V < ∞ ∧ μ (V \ s) < η
  exact s_closed.measurableSet.exists_isOpen_diff_lt hs ηpos.ne'
  let v := u ∩ V
  have hsv : s ⊆ v := subset_inter hsu sV
  have hμv : μ v < ∞ := (measure_mono (inter_subset_right _ _)).trans_lt h'V
  obtain ⟨g, hgv, hgs, hg_range⟩ :=
    exists_continuous_zero_one_of_isClosed (u_open.inter V_open).isClosed_compl s_closed
      (disjoint_compl_left_iff.2 hsv)
  -- Multiply this by `c` to get a continuous approximation to the function `f`; the key point is
  -- that this is pointwise bounded by the indicator of the set `v \ s`, which has small measure.
  have g_norm : ∀ x, ‖g x‖ = g x := fun x => by rw [Real.norm_eq_abs, abs_of_nonneg (hg_range x).1]
  have gc_bd0 : ∀ x, ‖g x • c‖ ≤ ‖c‖ := by
    intro x
    simp only [norm_smul, g_norm x]
    apply mul_le_of_le_one_left (norm_nonneg _)
    exact (hg_range x).2
  

Proof state:
case intro.intro.intro.intro.intro.intro.intro.intro.intro
α : Type u_1
inst✝⁶ : MeasurableSpace α
inst✝⁵ : TopologicalSpace α
inst✝⁴ : T4Space α
inst✝³ : BorelSpace α
E : Type u_2
inst✝² : NormedAddCommGroup E
μ : Measure α
p : ℝ≥0∞
inst✝¹ : NormedSpace ℝ E
inst✝ : Measure.OuterRegular μ
hp : p ≠ ⊤
s u : Set α
s_closed : IsClosed s
u_open : IsOpen u
hsu : s ⊆ u
hs : ↑↑μ s ≠ ⊤
c : E
ε : ℝ≥0∞
hε : ε ≠ 0
η : ℝ≥0
η_pos : 0 < η
hη : ∀ (s : Set α), ↑↑μ s ≤ ↑η → snorm (indicator s fun _x => c) p μ ≤ ε
ηpos : 0 < ↑η
V : Set α
sV : V ⊇ s
V_open : IsOpen V
h'V : ↑↑μ V < ⊤
hV : ↑↑μ (V \ s) < ↑η
v : Set α := u ∩ V
hsv : s ⊆ v
hμv : ↑↑μ v < ⊤
g : C(α, ℝ)
hgv : EqOn (⇑g) 0 (u ∩ V)ᶜ
hgs : EqOn (⇑g) 1 s
hg_range : ∀ (x : α), g x ∈ Icc 0 1
g_norm : ∀ (x : α), ‖g x‖ = g x
gc_bd0 : ∀ (x : α), ‖g x • c‖ ≤ ‖c‖
⊢ ∃ f,
    Continuous f ∧
      snorm (fun x => f x - indicator s (fun _y => c) x) p μ ≤ ε ∧
        (∀ (x : α), ‖f x‖ ≤ ‖c‖) ∧ Function.support f ⊆ u ∧ Memℒp f p

Next tactic:
have gc_bd :
      ∀ x, ‖g x • c - s.indicator (fun _x => c) x‖ ≤ ‖(v \ s).indicator (fun _x => c) x‖ := by
    intro x
    by_cases hv : x ∈ v
    · rw [← Set.diff_union_of_subset hsv] at hv
      cases' hv with hsv hs
      · simpa only [hsv.2, Set.indicator_of_not_mem, not_false_iff, sub_zero, hsv,
          Set.indicator_of_mem] using gc_bd0 x
      · simp [hgs hs, hs]
    · simp [hgv hv, show x ∉ s from fun h => hv (hsv h)]