For every collection of open sets {Uγ : γ ∈ Γ} with S ⊆ Uγ∈Γ Uγ, there is a finite collection {Uγ : γ ∈ F} such that S ⊆ Uγ∈F Uγ. Then prove that every sequence in S has a convergent subsequence that converges to a point of S.***
This is a question that I've been trying to figure out for ages.
I know that I need to show that if all subsequences of a sequence (xn)∞ n=1 diverge, then for all s ∈ S and all ε > 0, there are only finitely many terms of the sequence (xn)∞ n=1 that belong to the set (s − ε, s + ε) and use this fact to find a cover for S
But I don't understand how to do this
Background
Say you are working in a metric space $(X,d)$ with $S \subseteq X$. The assumed property of $S$ is called compact.
This property is particularly useful in analysis since every interval $[a,b]$ is compact. As a consequence, you can have Bolzano-Weierstrass Theorem as pointed out in another answer. Extreme value theorem is another direct consequence of the compactness of an interval.
Back to business, assuming $S$ is compact, the question is asking you to show that $S$ is sequentially compact:
But I would like to proceed by proving that $S$ is limit point compact:
The sequentially compact property and the limit point compact property are actually equivalent to compactness if you are working in a metric space. As you will learn later, compactness is equivalent to totally boundedness + completeness in a uniform space.
Compactness implies limit point compactness
Let $E$ be any infinite subset of $S$. Suppose $E$ had no limit point in $S$. Then each point $s$ in $S$ has the following property:
$$\exists \ r(s) > 0 \text{ s.t. }\forall \ p\in E,\ [s = p \vee d(s,p) > r(s)]$$
For each $s \in S$, let $U_s = B_{r(s)}(s)$. If $s \notin E$, then this neighborhood does not contain any point of $E$. If $s \in E$, then $U_s$ contains $s$ as the only point of $E$.
Now $\mathscr{C} = \{U_s\}_{s \in S}$ is an open cover of $S$. But for any $e \in E$, $U_e$ is the only open set in $\mathscr{C}$ that contains $e$. Therefore, each subcover $\mathscr{D}$ must have $\{U_s\}_{s \in E}$ as a subset of $\mathscr{D}$. That is, $\mathscr{D}$ must be infinite. This contradicts the compactness of $S$.
Now each infinite subset $E$ of $S$ must have a limit point in $S$.
Limit point compactness implies Sequential compactness
Let $E$ be the range of $\{x_n\}$.
Suppose $E$ is finite. Then there is some constant subsequence which is obviously convergent. Let $x_n = (-1)^n$ as an example, the sequence $x_{2n} = 1$. You might need to do mathematical induction on the cardinality of range of $\{x_n\}$ to prove the existence of such a constant subsequence for a general sequence with finite range.
Suppose $E$ is infinite, then $E$ has a limit point in $S$. For each $k$, $B_{1/k}(p)$ contains infinitely many points of $E$. Take $x_{n_1} = x_1$. Choose $x_{n_k} \in B_{1/k}(p) \cap E$ such that $n_k > n_{k-1}$. It follows that $x_{n_k} \rightarrow p$.
In summary, compactness implies limit point compactness implies sequential compactness. QED.