/-- In a group with a left invariant measure `μ` and a right invariant measure `ν`, one can express
integrals with respect to `μ` as integrals with respect to `ν` up to a constant scaling factor
(given in the statement as `∫ x, g x ∂μ` where `g` is a fixed reference function) and an
explicit density `y ↦ 1/∫ z, g (z⁻¹ * y) ∂ν`. -/
@[to_additive]
lemma integral_isMulLeftInvariant_isMulRightInvariant_combo
    {μ ν : Measure G} [IsFiniteMeasureOnCompacts μ] [IsFiniteMeasureOnCompacts ν]
    [IsMulLeftInvariant μ] [IsMulRightInvariant ν] [IsOpenPosMeasure ν]
    {f g : G → ℝ} (hf : Continuous f) (h'f : HasCompactSupport f)
    (hg : Continuous g) (h'g : HasCompactSupport g) (g_nonneg : 0 ≤ g) {x₀ : G} (g_pos : g x₀ ≠ 0) :
    ∫ x, f x ∂μ = (∫ y, f y * (∫ z, g (z⁻¹ * y) ∂ν)⁻¹ ∂ν) * ∫ x, g x ∂μ := by
  let D : G → ℝ := fun (x : G) ↦ ∫ y, g (y⁻¹ * x) ∂ν
  have D_cont : Continuous D := continuous_integral_apply_inv_mul hg h'g
  have D_pos : ∀ x, 0 < D x := by
    intro x
    have C : Continuous (fun y ↦ g (y⁻¹ * x)) := hg.comp (continuous_inv.mul continuous_const)
    apply (integral_pos_iff_support_of_nonneg _ _).2
    · apply C.isOpen_support.measure_pos ν
      exact ⟨x * x₀⁻¹, by simpa using g_pos⟩
    · exact fun y ↦ g_nonneg (y⁻¹ * x)
    · apply C.integrable_of_hasCompactSupport
      exact h'g.comp_homeomorph ((Homeomorph.inv G).trans (Homeomorph.mulRight x))
  calc
  ∫ x, f x ∂μ = ∫ x, f x * (D x)⁻¹ * D x ∂μ := by
    congr with x; rw [mul_assoc, inv_mul_cancel (D_pos x).ne', mul_one]
  _ = ∫ x, (∫ y, f x * (D x)⁻¹ * g (y⁻¹ * x) ∂ν) ∂μ := by simp_rw [integral_mul_left]
  _ = ∫ y, (∫ x, f x * (D x)⁻¹ * g (y⁻¹ * x) ∂μ) ∂ν := by
      apply integral_integral_swap_of_hasCompactSupport
      · apply Continuous.mul
        · exact (hf.comp continuous_fst).mul
            ((D_cont.comp continuous_fst).inv₀ (fun x ↦ (D_pos _).ne'))
        · exact hg.comp (continuous_snd.inv.mul continuous_fst)
      · let K := tsupport f
        have K_comp : IsCompact K := h'f
        let L := tsupport g
        have L_comp : IsCompact L := h'g
        let M := (fun (p : G × G) ↦ p.1 * p.2⁻¹) '' (K ×ˢ L)
        have M_comp : IsCompact M :=
          (K_comp.prod L_comp).image (continuous_fst.mul continuous_snd.inv)
        have M'_comp : IsCompact (closure M) := M_comp.closure
        have : ∀ (p : G × G), p ∉ K ×ˢ closure M → f p.1 * (D p.1)⁻¹ * g (p.2⁻¹ * p.1) = 0 := by
          rintro ⟨x, y⟩ hxy
          by_cases H : x ∈ K; swap
          · simp [image_eq_zero_of_nmem_tsupport H]
          have : g (y⁻¹ * x) = 0 := by
            apply image_eq_zero_of_nmem_tsupport
            contrapose! hxy
            simp only [mem_prod, H, true_and]
            apply subset_closure
            simp only [mem_image, mem_prod, Prod.exists]
            exact ⟨x, y⁻¹ * x, ⟨H, hxy⟩, by group⟩
          simp [this]
        apply HasCompactSupport.intro' (K_comp.prod M'_comp) ?_ this
        exact (isClosed_tsupport f).prod isClosed_closure
  _ = ∫ y, (∫ x, f (y * x) * (D (y * x))⁻¹ * g x ∂μ) ∂ν := by
      congr with y
      rw [← integral_mul_left_eq_self _ y]
      simp
  _ = ∫ x, (∫ y, f (y * x) * (D (y * x))⁻¹ * g x ∂ν) ∂μ := by
      apply (integral_integral_swap_of_hasCompactSupport _ _).symm
      · apply Continuous.mul ?_ (hg.comp continuous_fst)
        exact (hf.comp (continuous_snd.mul continuous_fst)).mul
          ((D_cont.comp (continuous_snd.mul continuous_fst)).inv₀ (fun x ↦ (D_pos _).ne'))
      · let K := tsupport f
        have K_comp : IsCompact K := h'f
        let L := tsupport g
        have L_comp : IsCompact L := h'g
        let M := (fun (p : G × G) ↦ p.1 * p.2⁻¹) '' (K ×ˢ L)
        have M_comp : IsCompact M :=
          (K_comp.prod L_comp).image (continuous_fst.mul continuous_snd.inv)
        have M'_comp : IsCompact (closure M) := M_comp.closure
        have : ∀ (p : G × G), p ∉ L ×ˢ closure M →
            f (p.2 * p.1) * (D (p.2 * p.1))⁻¹ * g p.1 = 0 := by
          rintro ⟨x, y⟩ hxy
          by_cases H : x ∈ L; swap
          · simp [image_eq_zero_of_nmem_tsupport H]
          have : f (y * x) = 0 := by
            apply image_eq_zero_of_nmem_tsupport
            contrapose! hxy
            simp only [mem_prod, H, true_and]
            apply subset_closure
            simp only [mem_image, mem_prod, Prod.exists]
            refine ⟨y * x, x, ⟨hxy, H⟩, by group⟩
          simp [this]
        

Proof state:
G : Type u_1
inst✝¹⁰ : TopologicalSpace G
inst✝⁹ : LocallyCompactSpace G
inst✝⁸ : Group G
inst✝⁷ : TopologicalGroup G
inst✝⁶ : MeasurableSpace G
inst✝⁵ : BorelSpace G
μ ν : Measure G
inst✝⁴ : IsFiniteMeasureOnCompacts μ
inst✝³ : IsFiniteMeasureOnCompacts ν
inst✝² : IsMulLeftInvariant μ
inst✝¹ : IsMulRightInvariant ν
inst✝ : IsOpenPosMeasure ν
f g : G → ℝ
hf : Continuous f
h'f : HasCompactSupport f
hg : Continuous g
h'g : HasCompactSupport g
g_nonneg : 0 ≤ g
x₀ : G
g_pos : g x₀ ≠ 0
D : G → ℝ := fun x => ∫ (y : G), g (y⁻¹ * x) ∂ν
D_cont : Continuous D
D_pos : ∀ (x : G), 0 < D x
K : Set G := tsupport f
K_comp : IsCompact K
L : Set G := tsupport g
L_comp : IsCompact L
M : Set G := (fun p => p.1 * p.2⁻¹) '' K ×ˢ L
M_comp : IsCompact M
M'_comp : IsCompact (closure M)
this : ∀ p ∉ L ×ˢ closure M, f (p.2 * p.1) * (D (p.2 * p.1))⁻¹ * g p.1 = 0
⊢ HasCompactSupport (uncurry fun x y => f (y * x) * (D (y * x))⁻¹ * g x)

Next tactic:
apply HasCompactSupport.intro' (L_comp.prod M'_comp) ?_ this