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I want to prove this variation of Heine-Borel theorem in $\mathbb{R}^2$ in the following way.

Theorem. The square $C=[c_1-r,c_1+r]\times[c_2-r,c_2+r]$ is compact.

Here is the idea for the proof.

Let $\mathfrak{F}$ be an open cover made of square balls (With the max metric) for $C$ (This means the elements of $\mathfrak{F}$ are of the form $I\times J$ for $I,J$ open intervals of the same lenght). Let $x\in[c_1-r,c_1+r],y\in[c_2-r,c_2+r]$.

Then $(x,y)\in C$ and there exists some intervals $I,J$ such that $I\times J\in \mathfrak{F}$ and $x\in I$, and $y\in J$. This means that the family $$\mathfrak{F}_X=\{I\mid I\times J\in\mathfrak{F},J\text{ any interval}\}$$ is an open cover for $[c_1-r,c_1+r]$. Then by Heine-Borel in $\mathbb{R}$ there exists a finite subcover of $\mathfrak{F}_X$, let's call it $\mathfrak{F}_X'$. Analogously we get a finite subcover $\mathfrak{F}_Y'$ of $$\mathfrak{F}_Y=\{J\mid I\times J\in\mathfrak{F},I\text{ any interval}\}$$

Using these subcovers I want to build a finite subcover of $\mathfrak{F}$. I wanted to build the family: $\mathfrak{F}'=\{I\times J \mid I\in\mathfrak{F}_X', J\in \mathfrak{F}_Y'\}$, but I cannot assure that these elements $I\times J$ are in $\mathfrak{F}$. How can I finish this?

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It seems to me that those elements are really not in $\mathfrak{F}$. Instead, we can use the following method (Essentially we are using Henie Borel theorem twice):

First fix $x\in [c_1 - r, c_1+r]$. Then for each $(x, y)$, there is an open set $U_{(x, y)} = I_{(x, y)} \times J_{(x, y)}$ so that $(x, y) \in U_{(x, y)}$. In particular, $\{J_{(x, y)}\}_{y\in[c_2-r, c_2+r]}$ is an open cover of $[c_2-r, c_2 + r]$ and by Heine Borel theorem there is $k$ (might depends on $x$) so that $[c_2 -r, c_2 + r]$ is covered by

$$J_{(x, y_1)}, J_{(x, y_2)}, \cdots, J_{(x, y_k)} . $$

Let $$I_x = \bigcap_{i=1}^k I_{(x, y_i)}.$$

This $I_x$ is open and $x\in I_x$. Thus $\{I_x\}_{x\in [c_1-r, c_1+r]}$ is an open cover of $[c_1-r, c_1 + r]$ and by Heine Borel theorem again, there is $x_1, \cdots, x_m$ so that $[c_1-r, c_1 +r]$ is covered by $I_{x_1}, I_{x_2}, \cdots, I_{x_m}$. Then the subset of $\mathfrak F$ given by

$$ \left\{ U_{(x_i, y_j)} \right\}_{i=1, \cdots, m, j = 1, \cdots, k_i}$$

is finite and is an open cover of $[c_1-r, c_1 + r] \times [c_2 - r, c_2 + r]$. To see this, let $(x, y)$ be an element in this set. Then there is $i$ so that $x\in I_{x_i}$ and $j$ so that $y\in J_{(x_i, y_j)}$. Now as

$$I_{x_i } = \bigcup_{j=1}^{k_j} I_{(x_i, y_j)} \subset I_{(x_i, y_j)},$$

we have $$(x, y) \in I_{x_i} \times J_{(x_i, y_j)} \subset I_{(x_i, y_j)} \times J_{(x_i, y_j)} = U_{(x_i, y_j)}.$$

Thus every open cover $\mathfrak F$ has a finite subcover.

We remark that

  • The proof can be somehow easier if you use sequential compactness (which is eqviualent to Heine Borel Property).

  • The above proof actually generalize a lot: It shows that $X\times Y$ is compact if $X, Y$ are both compact.

More information can be found in this question. Indeed, my answer here is just a one of the answer there, with small modifications to follow your notations)

  • Oh. Interesting way to solve the problem of the products not being (At least not always) in the original cover. About the sequential compactness, in my course we're trying to prove this first and after that prove the equivalence, so I can't do this yet (Unless you refer to equivalence between sequential compactness and compactness by covers in $\mathbb{R}$). – LeviathanTheEsper Oct 02 '15 at 00:41