/-- In a locally compact space, any function in `ℒp` can be approximated by compactly supported
continuous functions when `p < ∞`, version in terms of `snorm`. -/
theorem Memℒp.exists_hasCompactSupport_snorm_sub_le [WeaklyLocallyCompactSpace α] [μ.Regular]
    (hp : p ≠ ∞) {f : α → E} (hf : Memℒp f p μ) {ε : ℝ≥0∞} (hε : ε ≠ 0) :
    ∃ g : α → E, HasCompactSupport g ∧ snorm (f - g) p μ ≤ ε ∧ Continuous g ∧ Memℒp g p μ := by
  suffices H :
    ∃ g : α → E, snorm (f - g) p μ ≤ ε ∧ Continuous g ∧ Memℒp g p μ ∧ HasCompactSupport g
  · rcases H with ⟨g, hg, g_cont, g_mem, g_support⟩
    exact ⟨g, g_support, hg, g_cont, g_mem⟩
  -- It suffices to check that the set of functions we consider approximates characteristic
  -- functions, is stable under addition and consists of ae strongly measurable functions.
  -- First check the latter easy facts.
  apply hf.induction_dense hp _ _ _ _ hε
  rotate_left
  -- stability under addition
  · rintro f g ⟨f_cont, f_mem, hf⟩ ⟨g_cont, g_mem, hg⟩
    exact ⟨f_cont.add g_cont, f_mem.add g_mem, hf.add hg⟩
  -- ae strong measurability
  · rintro f ⟨_f_cont, f_mem, _hf⟩
    exact f_mem.aestronglyMeasurable
  -- We are left with approximating characteristic functions.
  -- This follows from `exists_continuous_snorm_sub_le_of_closed`.
  intro c t ht htμ ε hε
  rcases exists_Lp_half E μ p hε with ⟨δ, δpos, hδ⟩
  obtain ⟨η, ηpos, hη⟩ :
    ∃ η : ℝ≥0, 0 < η ∧ ∀ s : Set α, μ s ≤ η → snorm (s.indicator fun _x => c) p μ ≤ δ
  exact exists_snorm_indicator_le hp c δpos.ne'
  have hη_pos' : (0 : ℝ≥0∞) < η := ENNReal.coe_pos.2 ηpos
  obtain ⟨s, st, s_compact, μs⟩ : ∃ s, s ⊆ t ∧ IsCompact s ∧ μ (t \ s) < η
  exact ht.exists_isCompact_diff_lt htμ.ne hη_pos'.ne'
  have hsμ : μ s < ∞ := (measure_mono st).trans_lt htμ
  have I1 : snorm ((s.indicator fun _y => c) - t.indicator fun _y => c) p μ ≤ δ := by
    rw [← snorm_neg, neg_sub, ← indicator_diff st]
    exact hη _ μs.le
  obtain ⟨k, k_compact, sk⟩ : ∃ k : Set α, IsCompact k ∧ s ⊆ interior k :=
    exists_compact_superset s_compact
  rcases exists_continuous_snorm_sub_le_of_closed hp s_compact.isClosed isOpen_interior sk hsμ.ne c
      δpos.ne' with
    ⟨f, f_cont, I2, _f_bound, f_support, f_mem⟩
  

Proof state:
case intro.intro.intro.intro.intro.intro.intro.intro.intro.intro.intro.intro.intro.intro
α : Type u_1
inst✝⁷ : MeasurableSpace α
inst✝⁶ : TopologicalSpace α
inst✝⁵ : T4Space α
inst✝⁴ : BorelSpace α
E : Type u_2
inst✝³ : NormedAddCommGroup E
μ : Measure α
p : ℝ≥0∞
inst✝² : NormedSpace ℝ E
inst✝¹ : WeaklyLocallyCompactSpace α
inst✝ : Measure.Regular μ
hp : p ≠ ⊤
f✝ : α → E
hf : Memℒp f✝ p
ε✝ : ℝ≥0∞
hε✝ : ε✝ ≠ 0
c : E
t : Set α
ht : MeasurableSet t
htμ : ↑↑μ t < ⊤
ε : ℝ≥0∞
hε : ε ≠ 0
δ : ℝ≥0∞
δpos : 0 < δ
hδ :
  ∀ (f g : α → E),
    AEStronglyMeasurable f μ → AEStronglyMeasurable g μ → snorm f p μ ≤ δ → snorm g p μ ≤ δ → snorm (f + g) p μ < ε
η : ℝ≥0
ηpos : 0 < η
hη : ∀ (s : Set α), ↑↑μ s ≤ ↑η → snorm (Set.indicator s fun _x => c) p μ ≤ δ
hη_pos' : 0 < ↑η
s : Set α
st : s ⊆ t
s_compact : IsCompact s
μs : ↑↑μ (t \ s) < ↑η
hsμ : ↑↑μ s < ⊤
I1 : snorm ((Set.indicator s fun _y => c) - Set.indicator t fun _y => c) p μ ≤ δ
k : Set α
k_compact : IsCompact k
sk : s ⊆ interior k
f : α → E
f_cont : Continuous f
I2 : snorm (fun x => f x - Set.indicator s (fun _y => c) x) p μ ≤ δ
_f_bound : ∀ (x : α), ‖f x‖ ≤ ‖c‖
f_support : Function.support f ⊆ interior k
f_mem : Memℒp f p
⊢ ∃ g, snorm (g - Set.indicator t fun x => c) p μ ≤ ε ∧ Continuous g ∧ Memℒp g p ∧ HasCompactSupport g

Next tactic:
have I3 : snorm (f - t.indicator fun _y => c) p μ ≤ ε := by
    convert
      (hδ _ _
          (f_mem.aestronglyMeasurable.sub
            (aestronglyMeasurable_const.indicator s_compact.measurableSet))
          ((aestronglyMeasurable_const.indicator s_compact.measurableSet).sub
            (aestronglyMeasurable_const.indicator ht))
          I2 I1).le using 2
    simp only [sub_add_sub_cancel]