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
P : ProbabilityMeasure Ω
ε : ℝ
ε_pos : ε > 0
third_ε_pos : 0 < ε / 3
third_ε_pos' : 0 < ENNReal.ofReal (ε / 3)
Es : ℕ → Set Ω
Es_mble : ∀ (n : ℕ), MeasurableSet (Es n)
Es_bdd : ∀ (n : ℕ), Bornology.IsBounded (Es n)
Es_diam : ∀ (n : ℕ), diam (Es n) ≤ ε / 3
Es_cover : ⋃ n, Es n = univ
Es_disjoint : Pairwise fun n m ↦ Disjoint (Es n) (Es m)
N : ℕ
hN : ↑P (⋃ j ∈ Iio N, Es j)ᶜ < ENNReal.ofReal (ε / 3)
Js_finite : {J | J ⊆ Iio N}.Finite
Gs : Set (Set Ω) := (fun J ↦ thickening (ε / 3) (⋃ j ∈ J, Es j)) '' {J | J ⊆ Iio N}
Gs_open :
  ∀ (J : Set ℕ), IsOpen[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] (thickening (ε / 3) (⋃ j ∈ J, Es j))
mem_nhds_P :
  ∀ (G : Set Ω),
    IsOpen[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] G → {Q | ↑P G < ↑Q G + ENNReal.ofReal (ε / 3)} ∈ 𝓝 P
Q : ProbabilityMeasure Ω
hQ :
  ∀ i ⊆ Iio N,
    ↑P (⋃ i_2 ∈ i, thickening (ε / 3) (Es i_2)) < ↑Q (⋃ i_2 ∈ i, thickening (ε / 3) (Es i_2)) + ENNReal.ofReal (ε / 3)
δ : ℝ
B : Set Ω
δ_gt : 2 * (ε / 3) < δ
x✝ : MeasurableSet B
JB : Set ℕ := {i | (B ∩ Es i).Nonempty ∧ i ∈ Iio N}
⊢ ↑(ofMeasure P).toMeasure B ≤ ↑(ofMeasure Q).toMeasure (thickening δ B) + ENNReal.ofReal δ

Tactic:
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⟩

Goal state after:
Ω : Type u_1
inst✝³ : PseudoMetricSpace Ω
inst✝² : MeasurableSpace Ω
inst✝¹ : OpensMeasurableSpace Ω
inst✝ : SeparableSpace Ω
P : ProbabilityMeasure Ω
ε : ℝ
ε_pos : ε > 0
third_ε_pos : 0 < ε / 3
third_ε_pos' : 0 < ENNReal.ofReal (ε / 3)
Es : ℕ → Set Ω
Es_mble : ∀ (n : ℕ), MeasurableSet (Es n)
Es_bdd : ∀ (n : ℕ), Bornology.IsBounded (Es n)
Es_diam : ∀ (n : ℕ), diam (Es n) ≤ ε / 3
Es_cover : ⋃ n, Es n = univ
Es_disjoint : Pairwise fun n m ↦ Disjoint (Es n) (Es m)
N : ℕ
hN : ↑P (⋃ j ∈ Iio N, Es j)ᶜ < ENNReal.ofReal (ε / 3)
Js_finite : {J | J ⊆ Iio N}.Finite
Gs : Set (Set Ω) := (fun J ↦ thickening (ε / 3) (⋃ j ∈ J, Es j)) '' {J | J ⊆ Iio N}
Gs_open :
  ∀ (J : Set ℕ), IsOpen[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] (thickening (ε / 3) (⋃ j ∈ J, Es j))
mem_nhds_P :
  ∀ (G : Set Ω),
    IsOpen[PseudoMetricSpace.toUniformSpace.toTopologicalSpace] G → {Q | ↑P G < ↑Q G + ENNReal.ofReal (ε / 3)} ∈ 𝓝 P
Q : ProbabilityMeasure Ω
hQ :
  ∀ i ⊆ Iio N,
    ↑P (⋃ i_2 ∈ i, thickening (ε / 3) (Es i_2)) < ↑Q (⋃ i_2 ∈ i, thickening (ε / 3) (Es i_2)) + ENNReal.ofReal (ε / 3)
δ : ℝ
B : Set Ω
δ_gt : 2 * (ε / 3) < δ
x✝ : MeasurableSet B
JB : Set ℕ := {i | (B ∩ Es i).Nonempty ∧ i ∈ Iio N}
B_subset : B ⊆ (⋃ i ∈ JB, thickening (ε / 3) (Es i)) ∪ (⋃ j ∈ Iio N, Es j)ᶜ
⊢ ↑(ofMeasure P).toMeasure B ≤ ↑(ofMeasure Q).toMeasure (thickening δ B) + ENNReal.ofReal δ