/-- Harder inclusion: at a point in `D f K`, the function `f` has a derivative, in `K`. -/
theorem D_subset_differentiable_set {K : Set F} (hK : IsComplete K) :
    D f K ⊆ { x | DifferentiableWithinAt ℝ f (Ici x) x ∧ derivWithin f (Ici x) x ∈ K } := by
  have P : ∀ {n : ℕ}, (0 : ℝ) < (1 / 2) ^ n := fun {n} => pow_pos (by norm_num) n
  intro x hx
  have :
    ∀ e : ℕ, ∃ n : ℕ, ∀ p q, n ≤ p → n ≤ q →
      ∃ L ∈ K, x ∈ A f L ((1 / 2) ^ p) ((1 / 2) ^ e) ∩ A f L ((1 / 2) ^ q) ((1 / 2) ^ e) := by
    intro e
    have := mem_iInter.1 hx e
    rcases mem_iUnion.1 this with ⟨n, hn⟩
    refine' ⟨n, fun p q hp hq => _⟩
    simp only [mem_iInter, ge_iff_le] at hn
    rcases mem_iUnion.1 (hn p hp q hq) with ⟨L, hL⟩
    exact ⟨L, exists_prop.mp <| mem_iUnion.1 hL⟩
  /- Recast the assumptions: for each `e`, there exist `n e` and linear maps `L e p q` in `K`
    such that, for `p, q ≥ n e`, then `f` is well approximated by `L e p q` at scale `2 ^ (-p)` and
    `2 ^ (-q)`, with an error `2 ^ (-e)`. -/
  choose! n L hn using this
  /- All the operators `L e p q` that show up are close to each other. To prove this, we argue
      that `L e p q` is close to `L e p r` (where `r` is large enough), as both approximate `f` at
      scale `2 ^(- p)`. And `L e p r` is close to `L e' p' r` as both approximate `f` at scale
      `2 ^ (- r)`. And `L e' p' r` is close to `L e' p' q'` as both approximate `f` at scale
      `2 ^ (- p')`. -/
  have M :
    ∀ e p q e' p' q',
      n e ≤ p →
        n e ≤ q → n e' ≤ p' → n e' ≤ q' → e ≤ e' → ‖L e p q - L e' p' q'‖ ≤ 12 * (1 / 2) ^ e := by
    intro e p q e' p' q' hp hq hp' hq' he'
    let r := max (n e) (n e')
    have I : ((1 : ℝ) / 2) ^ e' ≤ (1 / 2) ^ e :=
      pow_le_pow_of_le_one (by norm_num) (by norm_num) he'
    have J1 : ‖L e p q - L e p r‖ ≤ 4 * (1 / 2) ^ e := by
      have I1 : x ∈ A f (L e p q) ((1 / 2) ^ p) ((1 / 2) ^ e) := (hn e p q hp hq).2.1
      have I2 : x ∈ A f (L e p r) ((1 / 2) ^ p) ((1 / 2) ^ e) := (hn e p r hp (le_max_left _ _)).2.1
      exact norm_sub_le_of_mem_A P _ I1 I2
    have J2 : ‖L e p r - L e' p' r‖ ≤ 4 * (1 / 2) ^ e := by
      have I1 : x ∈ A f (L e p r) ((1 / 2) ^ r) ((1 / 2) ^ e) := (hn e p r hp (le_max_left _ _)).2.2
      have I2 : x ∈ A f (L e' p' r) ((1 / 2) ^ r) ((1 / 2) ^ e') :=
        (hn e' p' r hp' (le_max_right _ _)).2.2
      exact norm_sub_le_of_mem_A P _ I1 (A_mono _ _ I I2)
    have J3 : ‖L e' p' r - L e' p' q'‖ ≤ 4 * (1 / 2) ^ e := by
      have I1 : x ∈ A f (L e' p' r) ((1 / 2) ^ p') ((1 / 2) ^ e') :=
        (hn e' p' r hp' (le_max_right _ _)).2.1
      have I2 : x ∈ A f (L e' p' q') ((1 / 2) ^ p') ((1 / 2) ^ e') := (hn e' p' q' hp' hq').2.1
      exact norm_sub_le_of_mem_A P _ (A_mono _ _ I I1) (A_mono _ _ I I2)
    calc
      ‖L e p q - L e' p' q'‖ =
          ‖L e p q - L e p r + (L e p r - L e' p' r) + (L e' p' r - L e' p' q')‖ :=
        by congr 1; abel
      _ ≤ ‖L e p q - L e p r‖ + ‖L e p r - L e' p' r‖ + ‖L e' p' r - L e' p' q'‖ :=
        (le_trans (norm_add_le _ _) (add_le_add_right (norm_add_le _ _) _))
      _ ≤ 4 * (1 / 2) ^ e + 4 * (1 / 2) ^ e + 4 * (1 / 2) ^ e := by 

Proof state:
F : Type u_1
inst✝¹ : NormedAddCommGroup F
inst✝ : NormedSpace ℝ F
f : ℝ → F
K✝ K : Set F
hK : IsComplete K
P : ∀ {n : ℕ}, 0 < (1 / 2) ^ n
x : ℝ
hx : x ∈ D f K
n : ℕ → ℕ
L : ℕ → ℕ → ℕ → F
hn :
  ∀ (e p q : ℕ),
    n e ≤ p →
      n e ≤ q → L e p q ∈ K ∧ x ∈ A f (L e p q) ((1 / 2) ^ p) ((1 / 2) ^ e) ∩ A f (L e p q) ((1 / 2) ^ q) ((1 / 2) ^ e)
e p q e' p' q' : ℕ
hp : n e ≤ p
hq : n e ≤ q
hp' : n e' ≤ p'
hq' : n e' ≤ q'
he' : e ≤ e'
r : ℕ := max (n e) (n e')
I : (1 / 2) ^ e' ≤ (1 / 2) ^ e
J1 : ‖L e p q - L e p r‖ ≤ 4 * (1 / 2) ^ e
J2 : ‖L e p r - L e' p' r‖ ≤ 4 * (1 / 2) ^ e
J3 : ‖L e' p' r - L e' p' q'‖ ≤ 4 * (1 / 2) ^ e
⊢ ‖L e p q - L e p r‖ + ‖L e p r - L e' p' r‖ + ‖L e' p' r - L e' p' q'‖ ≤
    4 * (1 / 2) ^ e + 4 * (1 / 2) ^ e + 4 * (1 / 2) ^ e

Next tactic:
gcongr