(I will delete this post after I get some suggestions on comments)
The following is a sketch of proof I thought of:
I may consider $\mathbb R^{m,n}$ being equivalent to Euclidean space $\mathbb R^{mn}$ and $\|\cdot\|$ as a continuous function $\mathbb R^{mn} \rightarrow \mathbb R$. For simplicity, let $f(\cdot) = \| \cdot \|$. Then, $f^{-1}([0,1])$ is closed in $\mathbb R^{mn}$ by continuity of $f$. To complete the proof, it suffices to show boundedness of $f^{-1}([0,1])$.
Let $\vec u_{ij} = (0, \cdots, u_{ij}, 0, \cdots, 0)$, where $u_{ij}$ is chosen in a way that $f(\vec u_{ij}) > 1$. Repeat the procedure for ${ij} \in \{1, \cdots, mn\}$, so I have appropriate choices of $u_{ij}$ for $ij \in \{1, \cdots, mn\}$. Then, construct a rectangle $R = \prod\limits_{ij}^{mn} R_{ij} \subset \mathbb R^{mn}$, where $R_{ij} = [-u_{ij}, u_{ij}]$. Then, I may conclude that $f^{-1}([0,1]) \subset R$ is compact by Heine-Borel.
I have two questions.
- Is there a simpler approach to show compactness of $f^{-1}([0,1])$?
- If I consider Banach space instead of $R^{mn}$, compactness may not hold anymore, right?