Module: Mathlib.MeasureTheory.Measure.Prokhorov

Goal state before:
pp: case inr.inr.refine_1
𝓧 : Type u_1
m𝓧 : MeasurableSpace 𝓧
inst✝³ : PseudoMetricSpace 𝓧
inst✝² : OpensMeasurableSpace 𝓧
inst✝¹ : SecondCountableTopology 𝓧
S : Set (ProbabilityMeasure 𝓧)
inst✝ : CompleteSpace 𝓧
hcomp : IsCompact (closure[ProbabilityMeasure.instTopologicalSpace] S)
hnonempty : Nonempty 𝓧
D : ℕ → 𝓧
hD : DenseRange D
u : ℕ → ℝ
hu_anti : StrictAnti u
hu_pos : ∀ (n : ℕ), 0 < u n
hu : Tendsto u atTop (𝓝 0)
hcov : ∀ (m : ℕ), ⋃ i, ball (D i) (u m) = univ
ε : ℝ≥0∞
εpos : 0 < ε
hεbound : ε ≤ 1
km : ℕ → ℕ
hbound : ∀ (m : ℕ), ∀ μ ∈ S, 1 - ε * 2 ^ (-↑m) < ↑(μ (⋃ i, ⋃ (_ : i ≤ km m), ball (D i) (u m)))
bigK : Set 𝓧 :=
  ⋂ m, ⋃ i, ⋃ (_ : i ≤ km (m + 1)), closure[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] (ball (D i) (u m))
bigcalc : ∀ μ ∈ S, ↑μ bigKᶜ ≤ ε
⊢ TotallyBounded bigK

pp: case inr.inr.refine_2
𝓧 : Type u_1
m𝓧 : MeasurableSpace 𝓧
inst✝³ : PseudoMetricSpace 𝓧
inst✝² : OpensMeasurableSpace 𝓧
inst✝¹ : SecondCountableTopology 𝓧
S : Set (ProbabilityMeasure 𝓧)
inst✝ : CompleteSpace 𝓧
hcomp : IsCompact (closure[ProbabilityMeasure.instTopologicalSpace] S)
hnonempty : Nonempty 𝓧
D : ℕ → 𝓧
hD : DenseRange D
u : ℕ → ℝ
hu_anti : StrictAnti u
hu_pos : ∀ (n : ℕ), 0 < u n
hu : Tendsto u atTop (𝓝 0)
hcov : ∀ (m : ℕ), ⋃ i, ball (D i) (u m) = univ
ε : ℝ≥0∞
εpos : 0 < ε
hεbound : ε ≤ 1
km : ℕ → ℕ
hbound : ∀ (m : ℕ), ∀ μ ∈ S, 1 - ε * 2 ^ (-↑m) < ↑(μ (⋃ i, ⋃ (_ : i ≤ km m), ball (D i) (u m)))
bigK : Set 𝓧 :=
  ⋂ m, ⋃ i, ⋃ (_ : i ≤ km (m + 1)), closure[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] (ball (D i) (u m))
bigcalc : ∀ μ ∈ S, ↑μ bigKᶜ ≤ ε
⊢ IsClosed[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] bigK

Tactic:
· refine Metric.totallyBounded_iff.mpr fun δ δpos ↦ ?_
    have ⟨δ_inv, hδ_inv⟩ : ∃ x, u x < δ := (Tendsto.eventually_lt_const δpos hu).exists
    refine ⟨D '' .Iic (km (δ_inv + 1)), (Set.finite_Iic _).image _, ?_⟩
    -- t should be image under D of the set of numbers less than km of δ_inv
    simp only [mem_image, iUnion_exists, biUnion_and', iUnion_iUnion_eq_right, bigK]
    calc
        ⋂ m, ⋃ i ≤ km (m + 1), closure (ball (D i) (u m))
    _ ⊆ ⋃ i ≤ km (δ_inv + 1), closure (ball (D i) (u δ_inv)) := iInter_subset ..
    _ ⊆ ⋃ i ≤ km (δ_inv + 1), ball (D i) δ := by
        gcongr
        exact closure_ball_subset_closedBall.trans <| closedBall_subset_ball <| hδ_inv

Goal state after:
case inr.inr.refine_2
𝓧 : Type u_1
m𝓧 : MeasurableSpace 𝓧
inst✝³ : PseudoMetricSpace 𝓧
inst✝² : OpensMeasurableSpace 𝓧
inst✝¹ : SecondCountableTopology 𝓧
S : Set (ProbabilityMeasure 𝓧)
inst✝ : CompleteSpace 𝓧
hcomp : IsCompact (closure[ProbabilityMeasure.instTopologicalSpace] S)
hnonempty : Nonempty 𝓧
D : ℕ → 𝓧
hD : DenseRange D
u : ℕ → ℝ
hu_anti : StrictAnti u
hu_pos : ∀ (n : ℕ), 0 < u n
hu : Tendsto u atTop (𝓝 0)
hcov : ∀ (m : ℕ), ⋃ i, ball (D i) (u m) = univ
ε : ℝ≥0∞
εpos : 0 < ε
hεbound : ε ≤ 1
km : ℕ → ℕ
hbound : ∀ (m : ℕ), ∀ μ ∈ S, 1 - ε * 2 ^ (-↑m) < ↑(μ (⋃ i, ⋃ (_ : i ≤ km m), ball (D i) (u m)))
bigK : Set 𝓧 :=
  ⋂ m, ⋃ i, ⋃ (_ : i ≤ km (m + 1)), closure[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] (ball (D i) (u m))
bigcalc : ∀ μ ∈ S, ↑μ bigKᶜ ≤ ε
⊢ IsClosed[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] bigK