theorem ae_le_of_forall_set_lintegral_le_of_sigmaFinite [SigmaFinite μ] {f g : α → ℝ≥0∞}
    (hf : Measurable f) (hg : Measurable g)
    (h : ∀ s, MeasurableSet s → μ s < ∞ → (∫⁻ x in s, f x ∂μ) ≤ ∫⁻ x in s, g x ∂μ) : f ≤ᵐ[μ] g := by
  have A :
    ∀ (ε N : ℝ≥0) (p : ℕ), 0 < ε → μ ({x | g x + ε ≤ f x ∧ g x ≤ N} ∩ spanningSets μ p) = 0 := by
    intro ε N p εpos
    let s := {x | g x + ε ≤ f x ∧ g x ≤ N} ∩ spanningSets μ p
    have s_meas : MeasurableSet s := by
      have A : MeasurableSet {x | g x + ε ≤ f x} := measurableSet_le (hg.add measurable_const) hf
      have B : MeasurableSet {x | g x ≤ N} := measurableSet_le hg measurable_const
      exact (A.inter B).inter (measurable_spanningSets μ p)
    have s_lt_top : μ s < ∞ :=
      (measure_mono (Set.inter_subset_right _ _)).trans_lt (measure_spanningSets_lt_top μ p)
    have A : (∫⁻ x in s, g x ∂μ) + ε * μ s ≤ (∫⁻ x in s, g x ∂μ) + 0 :=
      calc
        (∫⁻ x in s, g x ∂μ) + ε * μ s = (∫⁻ x in s, g x ∂μ) + ∫⁻ _ in s, ε ∂μ := by
          simp only [lintegral_const, Set.univ_inter, MeasurableSet.univ, Measure.restrict_apply]
        _ = ∫⁻ x in s, g x + ε ∂μ := (lintegral_add_right _ measurable_const).symm
        _ ≤ ∫⁻ x in s, f x ∂μ :=
          (set_lintegral_mono (hg.add measurable_const) hf fun x hx => hx.1.1)
        _ ≤ (∫⁻ x in s, g x ∂μ) + 0 := by rw [add_zero]; exact h s s_meas s_lt_top
    have B : (∫⁻ x in s, g x ∂μ) ≠ ∞ := by
      apply ne_of_lt
      calc
        (∫⁻ x in s, g x ∂μ) ≤ ∫⁻ _ in s, N ∂μ :=
          set_lintegral_mono hg measurable_const fun x hx => hx.1.2
        _ = N * μ s := by
          simp only [lintegral_const, Set.univ_inter, MeasurableSet.univ, Measure.restrict_apply]
        _ < ∞ := by
          simp only [lt_top_iff_ne_top, s_lt_top.ne, and_false_iff, ENNReal.coe_ne_top,
            ENNReal.mul_eq_top, Ne.def, not_false_iff, false_and_iff, or_self_iff]
    have : (ε : ℝ≥0∞) * μ s ≤ 0 := ENNReal.le_of_add_le_add_left B A
    simpa only [ENNReal.coe_eq_zero, nonpos_iff_eq_zero, mul_eq_zero, εpos.ne', false_or_iff]
  obtain ⟨u, _, u_pos, u_lim⟩ :
    ∃ u : ℕ → ℝ≥0, StrictAnti u ∧ (∀ n, 0 < u n) ∧ Tendsto u atTop (nhds 0) :=
    exists_seq_strictAnti_tendsto (0 : ℝ≥0)
  let s := fun n : ℕ => {x | g x + u n ≤ f x ∧ g x ≤ (n : ℝ≥0)} ∩ spanningSets μ n
  have μs : ∀ n, μ (s n) = 0 := fun n => A _ _ _ (u_pos n)
  have B : {x | f x ≤ g x}ᶜ ⊆ ⋃ n, s n := by
    intro x hx
    simp only [Set.mem_compl_iff, Set.mem_setOf, not_le] at hx
    have L1 : ∀ᶠ n in atTop, g x + u n ≤ f x := by
      have : Tendsto (fun n => g x + u n) atTop (𝓝 (g x + (0 : ℝ≥0))) :=
        tendsto_const_nhds.add (ENNReal.tendsto_coe.2 u_lim)
      simp only [ENNReal.coe_zero, add_zero] at this
      exact eventually_le_of_tendsto_lt hx this
    have L2 : ∀ᶠ n : ℕ in (atTop : Filter ℕ), g x ≤ (n : ℝ≥0) :=
      haveI : Tendsto (fun n : ℕ => ((n : ℝ≥0) : ℝ≥0∞)) atTop (𝓝 ∞) := by
        simp only [ENNReal.coe_nat]
        exact ENNReal.tendsto_nat_nhds_top
      eventually_ge_of_tendsto_gt (hx.trans_le le_top) this
    

Proof state:
α : Type u_1
E : Type u_2
m m0 : MeasurableSpace α
μ : Measure α
s✝ t : Set α
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
inst✝¹ : CompleteSpace E
p : ℝ≥0∞
inst✝ : SigmaFinite μ
f g : α → ℝ≥0∞
hf : Measurable f
hg : Measurable g
h : ∀ (s : Set α), MeasurableSet s → ↑↑μ s < ⊤ → ∫⁻ (x : α) in s, f x ∂μ ≤ ∫⁻ (x : α) in s, g x ∂μ
A : ∀ (ε N : ℝ≥0) (p : ℕ), 0 < ε → ↑↑μ ({x | g x + ↑ε ≤ f x ∧ g x ≤ ↑N} ∩ spanningSets μ p) = 0
u : ℕ → ℝ≥0
left✝ : StrictAnti u
u_pos : ∀ (n : ℕ), 0 < u n
u_lim : Tendsto u atTop (𝓝 0)
s : ℕ → Set α := fun n => {x | g x + ↑(u n) ≤ f x ∧ g x ≤ ↑↑n} ∩ spanningSets μ n
μs : ∀ (n : ℕ), ↑↑μ (s n) = 0
x : α
hx : g x < f x
L1 : ∀ᶠ (n : ℕ) in atTop, g x + ↑(u n) ≤ f x
L2 : ∀ᶠ (n : ℕ) in atTop, g x ≤ ↑↑n
⊢ x ∈ ⋃ n, s n

Next tactic:
apply Set.mem_iUnion.2