Module: Mathlib.MeasureTheory.Measure.LevyProkhorovMetric

Goal state before:
pp: Ω : Type u_1
inst✝³ : PseudoMetricSpace Ω
inst✝² : MeasurableSpace Ω
inst✝¹ : OpensMeasurableSpace Ω
inst✝ : SeparableSpace Ω
⊢ Continuous[ProbabilityMeasure.instTopologicalSpace, PseudoMetricSpace.toUniformSpace.toTopologicalSpace] ofMeasure

Tactic:
rw [continuous_iff_continuousAt]
  intro P
  -- To check continuity, fix `ε > 0`. To leave some wiggle room, be ready to use `ε/3 > 0` instead.
  rw [continuousAt_iff']
  intro ε ε_pos
  have third_ε_pos : 0 < ε / 3 := by linarith
  have third_ε_pos' : 0 < ENNReal.ofReal (ε / 3) := ofReal_pos.mpr third_ε_pos
  -- First use separability to choose a countable partition of `Ω` into measurable
  -- subsets `Es n ⊆ Ω` of small diameter, `diam (Es n) < ε/3`.
  obtain ⟨Es, Es_mble, Es_bdd, Es_diam, Es_cover, Es_disjoint⟩ :=
    SeparableSpace.exists_measurable_partition_diam_le Ω third_ε_pos
  -- Instead of the whole space `Ω = ⋃ n ∈ ℕ, Es n`, focus on a large but finite
  -- union `⋃ n < N, Es n`, chosen in such a way that the complement has small `P`-mass,
  -- `P (⋃ n < N, Es n)ᶜ < ε/3`.
  obtain ⟨N, hN⟩ : ∃ N, P.toMeasure (⋃ j ∈ Iio N, Es j)ᶜ < ENNReal.ofReal (ε / 3) := by
    have exhaust := @tendsto_measure_biUnion_Ici_zero_of_pairwise_disjoint Ω _ P.toMeasure _
                    Es (fun n ↦ (Es_mble n).nullMeasurableSet) Es_disjoint
    simp only [tendsto_atTop_nhds, Function.comp_apply] at exhaust
    obtain ⟨N, hN⟩ := exhaust (Iio (ENNReal.ofReal (ε / 3))) third_ε_pos' isOpen_Iio
    refine ⟨N, ?_⟩
    have rewr : ⋃ i, ⋃ (_ : N ≤ i), Es i = (⋃ i, ⋃ (_ : i < N), Es i)ᶜ := by
      simpa only [mem_Iio, compl_Iio, mem_Ici] using
        (biUnion_compl_eq_of_pairwise_disjoint_of_iUnion_eq_univ Es_cover Es_disjoint (Iio N)).symm
    simpa only [mem_Iio, ← rewr, gt_iff_lt] using hN N le_rfl
  -- With the finite `N` fixed above, consider the finite collection of open sets of the form
  -- `Gs J = thickening (ε/3) (⋃ j ∈ J, Es j)`, where `J ⊆ {0, 1, ..., N-1}`.
  have Js_finite : Set.Finite {J | J ⊆ Iio N} := Finite.finite_subsets <| finite_Iio N
  set Gs := (fun (J : Set ℕ) ↦ thickening (ε / 3) (⋃ j ∈ J, Es j)) '' {J | J ⊆ Iio N}
  have Gs_open : ∀ (J : Set ℕ), IsOpen (thickening (ε / 3) (⋃ j ∈ J, Es j)) :=
    fun J ↦ isOpen_thickening
  -- Any open set `G ⊆ Ω` determines a neighborhood of `P` consisting of those `Q` that
  -- satisfy `P G < Q G + ε/3`.
  have mem_nhds_P (G : Set Ω) (G_open : IsOpen G) :
      {Q | P.toMeasure G < Q.toMeasure G + ENNReal.ofReal (ε/3)} ∈ 𝓝 P :=
    P.toMeasure_add_pos_gt_mem_nhds G_open third_ε_pos'
  -- Assume that `Q` is in the neighborhood of `P` such that for each `J ⊆ {0, 1, ..., N-1}`
  -- we have `P (Gs J) < Q (Gs J) + ε/3`.
  filter_upwards [(Finset.iInter_mem_sets Js_finite.toFinset).mpr <|
                    fun J _ ↦ mem_nhds_P _ (Gs_open J)] with Q hQ
  simp only [Finite.mem_toFinset, mem_ofPred_eq, thickening_iUnion, mem_iInter] at hQ
  -- Note that in order to show that the Lévy-Prokhorov distance between `P` and `Q` is small
  -- (`≤ 2*ε/3`), it suffices to show that for arbitrary subsets `B ⊆ Ω`, the measure `P B` is
  -- bounded above up to a small error by the `Q`-measure of a small thickening of `B`.
  apply lt_of_le_of_lt ?_ (show 2 * (ε / 3) < ε by linarith)
  rw [dist_comm, dist_probabilityMeasure_def]
  -- Fix an arbitrary set `B ⊆ Ω`, and an arbitrary `δ > 2*ε/3` to gain some room for error
  -- and for thickening.
  apply levyProkhorovDist_le_of_forall_le _ _ (by linarith) (fun δ B δ_gt _ ↦ ?_)
  -- Let `JB ⊆ {0, 1, ..., N-1}` consist of those indices `j` such that `B` intersects `Es j`.
  -- Then the open set `Gs JB` approximates `B` rather well:
  -- except for what happens in the small complement `(⋃ n < N, Es n)ᶜ`, the set `B` is
  -- contained in `Gs JB`, and conversely `Gs JB` only contains points within `δ` from `B`.
  set JB := {i | (B ∩ Es i).Nonempty ∧ i ∈ Iio N}
  have B_subset : B ⊆ (⋃ i ∈ JB, thickening (ε / 3) (Es i)) ∪ (⋃ j ∈ Iio N, Es j)ᶜ := by
    suffices B ⊆ (⋃ i ∈ JB, thickening (ε / 3) (Es i)) ∪ (⋃ j ∈ Ici N, Es j) by
      refine this.trans <| union_subset_union le_rfl ?_
      intro ω hω
      simp only [mem_Ici, mem_iUnion, exists_prop] at hω
      obtain ⟨i, i_large, ω_in_Esi⟩ := hω
      by_contra con
      simp only [mem_Iio, compl_iUnion, mem_iInter, mem_compl_iff, not_forall, not_not,
                  exists_prop] at con
      obtain ⟨j, j_small, ω_in_Esj⟩ := con
      exact disjoint_left.mp (Es_disjoint (show j ≠ i by lia)) ω_in_Esj ω_in_Esi
    intro ω ω_in_B
    obtain ⟨i, hi⟩ := show ∃ n, ω ∈ Es n by simp only [← mem_iUnion, Es_cover, mem_univ]
    simp only [mem_Ici, mem_union, mem_iUnion, exists_prop]
    by_cases i_small : i ∈ Iio N
    · refine Or.inl ⟨i, ?_, self_subset_thickening third_ε_pos _ hi⟩
      simp only [mem_Iio, mem_ofPred_eq, JB]
      exact ⟨Set.nonempty_of_mem <| mem_inter ω_in_B hi, i_small⟩
    · exact Or.inr ⟨i, by simpa only [mem_Iio, not_lt] using i_small, hi⟩
  have subset_thickB : ⋃ i ∈ JB, thickening (ε / 3) (Es i) ⊆ thickening δ B := by
    intro ω ω_in_U
    simp only [mem_iUnion, exists_prop] at ω_in_U
    obtain ⟨k, ⟨B_intersects, _⟩, ω_in_thEk⟩ := ω_in_U
    rw [mem_thickening_iff] at ω_in_thEk ⊢
    obtain ⟨w, w_in_Ek, w_near⟩ := ω_in_thEk
    obtain ⟨z, ⟨z_in_B, z_in_Ek⟩⟩ := B_intersects
    refine ⟨z, z_in_B, lt_of_le_of_lt (dist_triangle ω w z) ?_⟩
    apply lt_of_le_of_lt (add_le_add w_near.le <|
            (dist_le_diam_of_mem (Es_bdd k) w_in_Ek z_in_Ek).trans <| Es_diam k)
    linarith
  -- We use the resulting upper bound `P B ≤ P (Gs JB) + P (small complement)`.
  apply (measure_mono B_subset).trans ((measure_union_le _ _).trans ?_)
  -- From the choice of `Q` in a suitable neighborhood, we have `P (Gs JB) < Q (Gs JB) + ε/3`.
  specialize hQ _ (show JB ⊆ Iio N from fun _ h ↦ h.2)
  -- Now it remains to add the pieces and use the above estimates.
  apply (add_le_add hQ.le hN.le).trans
  rw [add_assoc, ← ENNReal.ofReal_add third_ε_pos.le third_ε_pos.le, ← two_mul]
  apply add_le_add (measure_mono subset_thickB) (ofReal_le_ofReal _)
  exact δ_gt.le

Goal state after: