/-- If `f : ℝⁿ → E` is Bochner integrable w.r.t. a locally finite measure `μ` on a rectangular box
`I`, then it is McShane integrable on `I` with the same integral.  -/
theorem IntegrableOn.hasBoxIntegral [CompleteSpace E] {f : (ι → ℝ) → E} {μ : Measure (ι → ℝ)}
    [IsLocallyFiniteMeasure μ] {I : Box ι} (hf : IntegrableOn f I μ) (l : IntegrationParams)
    (hl : l.bRiemann = false) :
    HasIntegral.{u, v, v} I l f μ.toBoxAdditive.toSMul (∫ x in I, f x ∂μ) := by
  borelize E
  -- First we replace an `ae_strongly_measurable` function by a measurable one.
  rcases hf.aestronglyMeasurable with ⟨g, hg, hfg⟩
  haveI : SeparableSpace (range g ∪ {0} : Set E) := hg.separableSpace_range_union_singleton
  rw [integral_congr_ae hfg]; have hgi : IntegrableOn g I μ := (integrable_congr hfg).1 hf
  refine' BoxIntegral.HasIntegral.congr_ae _ hfg.symm hl
  clear! f
  /- Now consider the sequence of simple functions
    `SimpleFunc.approxOn g hg.measurable (range g ∪ {0}) 0 (by simp)`
    approximating `g`. Recall some properties of this sequence. -/
  set f : ℕ → SimpleFunc (ι → ℝ) E :=
    SimpleFunc.approxOn g hg.measurable (range g ∪ {0}) 0 (by simp)
  have hfi : ∀ n, IntegrableOn (f n) I μ :=
    SimpleFunc.integrable_approxOn_range hg.measurable hgi
  have hfi' := fun n => ((f n).hasBoxIntegral μ I l hl).integrable
  have hfg_mono : ∀ (x) {m n}, m ≤ n → ‖f n x - g x‖ ≤ ‖f m x - g x‖ := by
    intro x m n hmn
    rw [← dist_eq_norm, ← dist_eq_norm, dist_nndist, dist_nndist, NNReal.coe_le_coe, ←
      ENNReal.coe_le_coe, ← edist_nndist, ← edist_nndist]
    exact SimpleFunc.edist_approxOn_mono hg.measurable _ x hmn
  /- Now consider `ε > 0`. We need to find `r` such that for any tagged partition subordinate
    to `r`, the integral sum is `(μ I + 1 + 1) * ε`-close to the Bochner integral. -/
  refine' HasIntegral.of_mul ((μ I).toReal + 1 + 1) fun ε ε0 => _
  lift ε to ℝ≥0 using ε0.le; rw [NNReal.coe_pos] at ε0; have ε0' := ENNReal.coe_pos.2 ε0
  -- Choose `N` such that the integral of `‖f N x - g x‖` is less than or equal to `ε`.
  obtain ⟨N₀, hN₀⟩ : ∃ N : ℕ, ∫ x in I, ‖f N x - g x‖ ∂μ ≤ ε := by
    have : Tendsto (fun n => ∫⁻ x in I, ‖f n x - g x‖₊ ∂μ) atTop (𝓝 0) :=
      SimpleFunc.tendsto_approxOn_range_L1_nnnorm hg.measurable hgi
    refine' (this.eventually (ge_mem_nhds ε0')).exists.imp fun N hN => _
    exact integral_coe_le_of_lintegral_coe_le hN
  -- For each `x`, we choose `Nx x ≥ N₀` such that `dist (f Nx x) (g x) ≤ ε`.
  have : ∀ x, ∃ N₁, N₀ ≤ N₁ ∧ dist (f N₁ x) (g x) ≤ ε := fun x ↦ by
    have : Tendsto (f · x) atTop (𝓝 <| g x) :=
      SimpleFunc.tendsto_approxOn hg.measurable _ (subset_closure (by simp))
    exact ((eventually_ge_atTop N₀).and <| this <| closedBall_mem_nhds _ ε0).exists
  choose Nx hNx hNxε using this
  -- We also choose a convergent series with `∑' i : ℕ, δ i < ε`.
  rcases NNReal.exists_pos_sum_of_countable ε0.ne' ℕ with ⟨δ, δ0, c, hδc, hcε⟩
  /- Since each simple function `fᵢ` is integrable, there exists `rᵢ : ℝⁿ → (0, ∞)` such that
    the integral sum of `f` over any tagged prepartition is `δᵢ`-close to the sum of integrals
    of `fᵢ` over the boxes of this prepartition. For each `x`, we choose `r (Nx x)` as the radius
    at `x`. -/
  set r : ℝ≥0 → (ι → ℝ) → Ioi (0 : ℝ) := fun c x => (hfi' <| Nx x).convergenceR (δ <| Nx x) c x
  refine' ⟨r, fun c => l.rCond_of_bRiemann_eq_false hl, fun c π hπ hπp => _⟩
  /- Now we prove the estimate in 3 "jumps": first we replace `g x` in the formula for the
    integral sum by `f (Nx x)`; then we replace each `μ J • f (Nx (π.tag J)) (π.tag J)`
    by the Bochner integral of `f (Nx (π.tag J)) x` over `J`, then we jump to the Bochner
    integral of `g`. -/
  refine' (dist_triangle4 _ (∑ J in π.boxes, (μ J).toReal • f (Nx <| π.tag J) (π.tag J))
    (∑ J in π.boxes, ∫ x in J, f (Nx <| π.tag J) x ∂μ) _).trans _
  rw [add_mul, add_mul, one_mul]
  refine' add_le_add_three _ _ _
  · /- Since each `f (Nx $ π.tag J)` is `ε`-close to `g (π.tag J)`, replacing the latter with
        the former in the formula for the integral sum changes the sum at most by `μ I * ε`. -/
    rw [← hπp.iUnion_eq, π.measure_iUnion_toReal, sum_mul, integralSum]
    refine' dist_sum_sum_le_of_le _ fun J _ => _; dsimp
    rw [dist_eq_norm, ← smul_sub, norm_smul, Real.norm_eq_abs, abs_of_nonneg ENNReal.toReal_nonneg]
    gcongr
    rw [← dist_eq_norm']; exact hNxε _
  · /- We group the terms of both sums by the values of `Nx (π.tag J)`.
        For each `N`, the sum of Bochner integrals over the boxes is equal
        to the sum of box integrals, and the sum of box integrals is `δᵢ`-close
        to the corresponding integral sum due to the Henstock-Sacks inequality. -/
    rw [← π.sum_fiberwise fun J => Nx (π.tag J), ← π.sum_fiberwise fun J => Nx (π.tag J)]
    refine' le_trans _ (NNReal.coe_lt_coe.2 hcε).le
    refine'
      (dist_sum_sum_le_of_le _ fun n hn => _).trans
        (sum_le_hasSum _ (fun n _ => (δ n).2) (NNReal.hasSum_coe.2 hδc))
    have hNxn : ∀ J ∈ π.filter fun J => Nx (π.tag J) = n, Nx (π.tag J) = n := fun J hJ =>
      (π.mem_filter.1 hJ).2
    have hrn : ∀ J ∈ π.filter fun J => Nx (π.tag J) = n,
        r c (π.tag J) = (hfi' n).convergenceR (δ n) c (π.tag J) := fun J hJ ↦ by
      obtain rfl := hNxn J hJ
      rfl
    have :
        l.MemBaseSet I c ((hfi' n).convergenceR (δ n) c) (π.filter fun J => Nx (π.tag J) = n) :=
      (hπ.filter _).mono' _ le_rfl le_rfl fun J hJ => (hrn J hJ).le
    convert (hfi' n).dist_integralSum_sum_integral_le_of_memBaseSet (δ0 _) this using 2
    · refine' sum_congr rfl fun J hJ => _
      simp [hNxn J hJ]
    · refine' sum_congr rfl fun J hJ => _
      rw [← SimpleFunc.integral_eq_integral, SimpleFunc.box_integral_eq_integral _ _ _ _ hl,
        hNxn J hJ]
      exact (hfi _).mono_set (Prepartition.le_of_mem _ hJ)
  · /-  For the last jump, we use the fact that the distance between `f (Nx x) x` and `g x` is less
        than or equal to the distance between `f N₀ x` and `g x` and the integral of
        `‖f N₀ x - g x‖` is less than or equal to `ε`. -/
    refine' le_trans _ hN₀
    have hfi : ∀ (n), ∀ J ∈ π, IntegrableOn (f n) (↑J) μ := fun n J hJ =>
      (hfi n).mono_set (π.le_of_mem' J hJ)
    have hgi : ∀ J ∈ π, IntegrableOn g (↑J) μ := fun J hJ => hgi.mono_set (π.le_of_mem' J hJ)
    have hfgi : ∀ (n), ∀ J ∈ π, IntegrableOn (fun x => ‖f n x - g x‖) J μ := fun n J hJ =>
      ((hfi n J hJ).sub (hgi J hJ)).norm
    rw [← hπp.iUnion_eq, Prepartition.iUnion_def',
      integral_finset_biUnion π.boxes (fun J _ => J.measurableSet_coe) π.pairwiseDisjoint hgi,
      integral_finset_biUnion π.boxes (fun J _ => J.measurableSet_coe) π.pairwiseDisjoint (hfgi _)]
    refine' dist_sum_sum_le_of_le _ fun J hJ => _
    

Proof state:
case intro.intro.intro.intro.intro.intro.intro.intro.refine'_3
ι : Type u
E : Type v
inst✝⁴ : Fintype ι
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
inst✝¹ : CompleteSpace E
μ : Measure (ι → ℝ)
inst✝ : IsLocallyFiniteMeasure μ
I : Box ι
l : IntegrationParams
hl : l.bRiemann = false
this✝¹ : MeasurableSpace E := borel E
this✝ : BorelSpace E
g : (ι → ℝ) → E
hg : StronglyMeasurable g
this : SeparableSpace ↑(Set.range g ∪ {0})
hgi✝ : IntegrableOn g ↑I
f : ℕ → SimpleFunc (ι → ℝ) E :=
  SimpleFunc.approxOn g (_ : Measurable g) (Set.range g ∪ {0}) 0 (_ : 0 ∈ Set.range g ∪ {0})
hfi✝ : ∀ (n : ℕ), IntegrableOn ↑(f n) ↑I
hfi' : ∀ (n : ℕ), BoxIntegral.Integrable I l (↑(f n)) (BoxAdditiveMap.toSMul (Measure.toBoxAdditive μ))
hfg_mono : ∀ (x : ι → ℝ) {m n : ℕ}, m ≤ n → ‖↑(f n) x - g x‖ ≤ ‖↑(f m) x - g x‖
ε : ℝ≥0
ε0 : 0 < ε
ε0' : 0 < ↑ε
N₀ : ℕ
hN₀ : ∫ (x : ι → ℝ) in ↑I, ‖↑(f N₀) x - g x‖ ∂μ ≤ ↑ε
Nx : (ι → ℝ) → ℕ
hNx : ∀ (x : ι → ℝ), N₀ ≤ Nx x
hNxε : ∀ (x : ι → ℝ), dist (↑(f (Nx x)) x) (g x) ≤ ↑ε
δ : ℕ → ℝ≥0
δ0 : ∀ (i : ℕ), 0 < δ i
c✝ : ℝ≥0
hδc : HasSum δ c✝
hcε : c✝ < ε
r : ℝ≥0 → (ι → ℝ) → ↑(Set.Ioi 0) :=
  fun c x =>
    Integrable.convergenceR
      (_ : BoxIntegral.Integrable I l (↑(f (Nx x))) (BoxAdditiveMap.toSMul (Measure.toBoxAdditive μ))) (↑(δ (Nx x))) c x
c : ℝ≥0
π : TaggedPrepartition I
hπ : IntegrationParams.MemBaseSet l I c (r c) π
hπp : TaggedPrepartition.IsPartition π
hfi : ∀ (n : ℕ), ∀ J ∈ π, IntegrableOn ↑(f n) ↑J
hgi : ∀ J ∈ π, IntegrableOn g ↑J
hfgi : ∀ (n : ℕ), ∀ J ∈ π, IntegrableOn (fun x => ‖↑(f n) x - g x‖) ↑J
J : Box ι
hJ : J ∈ π.boxes
⊢ dist (∫ (x : ι → ℝ) in ↑J, ↑(f (Nx (TaggedPrepartition.tag π J))) x ∂μ) (∫ (x : ι → ℝ) in ↑J, g x ∂μ) ≤
    ∫ (x : ι → ℝ) in ↑J, ‖↑(f N₀) x - g x‖ ∂μ

Next tactic:
rw [dist_eq_norm, ← integral_sub (hfi _ J hJ) (hgi J hJ)]