I know that $a\leq \lvert a \rvert$ and $\lvert a \rvert =\sqrt{a^2}$, so I can write $$ a\leq \sqrt{a^2} $$ But say something like $$ a\leq \sqrt{a^2+b^2} $$ Intuitively it's true. But can we really prove this or is it just intuition? I think: "we just added $b^2$ on the right side but nothing on the left side. Therefore the right side must be larger (of equal)". Is this the right way to think about it?
How to think about proofs of inequalities (precalculus)?
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If you do not know that $x\mapsto \sqrt x$ is increasing, note that $\sqrt x\ge 0$ whenever it is defined. Therefore, $0\le x< y$ implies $$0<y-x=\sqrt y^2-\sqrt x^2=\underbrace{(\sqrt y+\sqrt x)}_{\ge 0}(\sqrt y-\sqrt x), $$ whence $$ \sqrt y-\sqrt x>0.$$
Now from $b^2\ge 0$, we see $a^2+b^2\ge a^2$ and so finally $\sqrt{a^2+b^2}\ge \sqrt {a^2}$.
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Suppose you have some inequality of the kind $a\le b$, then if you apply an increasing function to both sides the inequality holds, that is, suppose that $f$ is an increasing function, then $f(a)\le f(b)$ if and only if $a\le b$.
If $g$ would be a decreasing function then $g(a)\ge g(b)$ if and only if $a\le b$, you only need to check the definition of increasing and decreasing functions to see that these inequalities holds by definition.
In our case the function $f(x):=x^2$ is increasing for non-negative reals, thus if $a\ge 0$ and $\sqrt{a^2+b^2}\ge 0$ then we have that
$$a\le\sqrt{a^2+b^2}\iff f(a)=a^2\le f(\sqrt{a^2+b^2})=a^2+b^2\tag1$$
where the symbol $\iff$ must be read as "if and only if", and it means that if one thing in one of the sides of the $\iff$ is true (or false) the other is also true (or also false).
Then from $(1)$ we find that $a^2\le a^2+b^2\iff 0\le b^2$ what is true, thus $a\le\sqrt{a^2+b^2}$ is also true. Moreover, if $a<0$ then $-a>0$ and you can show that $-a\le\sqrt{a^2+b^2}$, and because $a<-a$ then your inequality also holds when $a<0$.
$$a \leq \sqrt{a^2} \leq \sqrt{a^2+b^2}$$
since square root is an increasing function and we know that $b^2$ is nonnegative.