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Length of an Open Interval
The length ℓ(I) of an open interval I⊆ℝ is defined by ℓ(I)={b−aI=(a,b) with a<b,0I=∅,∞I=(−∞,a) or I=(a,∞),∞I=(−∞,∞).
Outer Measure
Suppose that A⊆ℝ. The outer measure function, denoted outer_measure⁡ or omes⁡, is defined by outer_measure⁡(A):=omes⁡(A):=inf⁡{∑k=1∞ℓ(Ik):A⊆⋃k=1∞Ik and each Ik is an open interval}. Here I1,I2,… is a sequence of open intervals, and ℓ(Ik) is the length of an open interval.
Countable Sets Have Outer Measure Zero
Every countable subset of ℝ has outer measure 0.

Let A⊆ℝ be countable. Write A={a1,a2,…}, allowing repetitions if needed. Let ϵ∈ℝ+. For each k∈ℕ1, define the open interval Ik:=(ak−ϵ2k,ak+ϵ2k). Then A⊆⋃k=1∞Ik, so by the definition of outer measure, omes⁡(A)≤∑k=1∞ℓ(Ik)=∑k=1∞2ϵ2k=2ϵ. Since ϵ∈ℝ+ was arbitrary and outer measure is nonnegative by definition, omes⁡(A)=0.

Outer Measure Preserves Order
Suppose that A,B⊆ℝ and A⊆B. Then omes⁡(A)≤omes⁡(B).

Let I1,I2,… be any sequence of open intervals such that B⊆⋃k=1∞Ik. Since A⊆B, the same sequence also covers A. Hence by the definition of outer measure, omes⁡(A)≤∑k=1∞ℓ(Ik). Taking the infimum over all such covers of B gives omes⁡(A)≤omes⁡(B).

Translation of a Set
Suppose that t∈ℝ and A⊆ℝ. Define the translation of A by t as t+A:={t+a:a∈A}.
Outer Measure is Translation Invariant
Suppose that t∈ℝ and A⊆ℝ. Then omes⁡(t+A)=omes⁡(A).

Suppose I1,I2,… is a sequence of open intervals such that A⊆⋃k=1∞Ik. Then t+I1,t+I2,… is a sequence of open intervals whose union contains t+A. Translation does not change the length of an open interval, so omes⁡(t+A)≤∑k=1∞ℓ(t+Ik)=∑k=1∞ℓ(Ik). Taking the infimum over all open-interval covers of A, we get omes⁡(t+A)≤omes⁡(A).

For the reverse inequality, note that A=−t+(t+A). Applying the inequality already proved with t+A in place of A and −t in place of t, we get omes⁡(A)=omes⁡(−t+(t+A))≤omes⁡(t+A). Therefore omes⁡(t+A)=omes⁡(A).

Countable Subadditivity of Outer Measure
Suppose that A1,A2,…⊆ℝ. Then omes⁡(⋃k=1∞Ak)≤∑k=1∞omes⁡(Ak).

If omes⁡(Ak)=∞ for some k, then the right side is ∞, so the inequality is immediate. Thus assume omes⁡(Ak)<∞ for every k.

Let ϵ∈ℝ+. For each k∈ℕ1, choose a sequence of open intervals I1,k,I2,k,… whose union contains Ak and such that ∑j=1∞ℓ(Ij,k)≤omes⁡(Ak)+ϵ2k. The doubly indexed family {Ij,k:j,k∈ℕ1} can be listed as a single sequence, and its union contains ⋃k=1∞Ak. Hence by the definition of outer measure, omes⁡(⋃k=1∞Ak)≤∑k=1∞∑j=1∞ℓ(Ij,k)≤∑k=1∞omes⁡(Ak)+ϵ. Since ϵ∈ℝ+ was arbitrary, we obtain omes⁡(⋃k=1∞Ak)≤∑k=1∞omes⁡(Ak).

Open Cover
Suppose that A⊆ℝ. A collection 𝒞 of open subsets of ℝ is an open cover of A if A⊆⋃G∈𝒞G.
Finite Subcover
Suppose that 𝒞 is an open cover of A⊆ℝ. We say that 𝒞 has a finite subcover if there are G1,…,Gn∈𝒞 such that A⊆G1∪⋯∪Gn.
Heine-Borel Theorem
Every open cover of a closed bounded subset of ℝ has a finite subcover.

First suppose F=[a,b] with a<b, and let 𝒞 be an open cover of [a,b]. Define D:={d∈[a,b]:[a,d] has a finite subcover from 𝒞}. Since a is contained in some member of 𝒞, we have a∈D, so D≠∅. Also D⊆[a,b], so D is bounded above. Let s=sup⁡D, using the supremum.

Choose G∈𝒞 with s∈G. Since G is open, there exists δ∈ℝ+ such that (s−δ,s+δ)⊆G. By the definition of s=sup⁡D, some d∈D satisfies s−δ<d≤s. Since d∈D, there are G1,…,Gn∈𝒞 such that [a,d]⊆G1∪⋯∪Gn. Then for every d′∈[s,s+δ)∩[a,b], [a,d′]⊆G1∪⋯∪Gn∪G. Thus every such d′ is in D. If s<b, this puts points of D larger than s, contradicting that s is an upper bound. Hence s=b, and the displayed containment with d′=b gives a finite subcover of [a,b].

Now let F⊆ℝ be closed and bounded, and let 𝒞 be an open cover of F. Choose a,b∈ℝ with F⊆[a,b]. Since F is closed, ℝ∖F is open. Therefore 𝒞∪{ℝ∖F} is an open cover of [a,b]. By the interval case, finitely many of these sets cover [a,b]. Removing ℝ∖F, if it appears, leaves finitely many members of 𝒞 that cover F. Thus 𝒞 has a finite subcover.

Outer Measure of a Closed Interval
Suppose that a,b∈ℝ and a<b. Then omes⁡([a,b])=b−a.

For every ϵ∈ℝ+, the open interval (a−ϵ,b+ϵ) covers [a,b]. Hence by the definition of outer measure, omes⁡([a,b])≤ℓ((a−ϵ,b+ϵ))=b−a+2ϵ. Since ϵ∈ℝ+ was arbitrary, omes⁡([a,b])≤b−a.

For the reverse inequality, let I1,I2,… be any sequence of open intervals with [a,b]⊆⋃k=1∞Ik. By the Heine-Borel theorem, finitely many of these intervals cover [a,b]. Thus there is n∈ℕ1 such that [a,b]⊆I1∪⋯∪In after relabeling if needed.

We claim that ∑k=1nℓ(Ik)≥b−a. This is proved by induction on n. For n=1, one open interval covering [a,b] must have length at least b−a. For the induction step, suppose I1,…,In+1 cover [a,b]. Relabel so b∈In+1=(c,d). If c≤a, then ℓ(In+1)≥b−a. Otherwise a<c<b, and I1,…,In cover [a,c]. By the induction hypothesis, ∑k=1nℓ(Ik)≥c−a. Therefore ∑k=1n+1ℓ(Ik)≥(c−a)+(d−c)=d−a≥b−a. Hence every open-interval cover of [a,b] has total length at least b−a, so taking the infimum gives b−a≤omes⁡([a,b]). Combining the two inequalities proves the result.

Nontrivial Intervals are Uncountable
Every interval in ℝ that contains at least two distinct elements is uncountable.

Let I⊆ℝ be an interval containing two distinct elements a<b. Then [a,b]⊆I. If I were countable, then [a,b] would be countable as a subset of a countable set. By countable sets have outer measure zero, this would imply omes⁡([a,b])=0. But by the outer measure of a closed interval, omes⁡([a,b])=b−a>0, a contradiction. Therefore I is uncountable.

Outer Measure is Not Additive
There exist disjoint subsets A,B⊆ℝ such that omes⁡(A∪B)≠omes⁡(A)+omes⁡(B).

Define a relation on [0,1] by x∼y if and only if x−y∈ℚ. This is an equivalence relation. Choose a set V⊆[0,1] containing exactly one representative from each equivalence class. Let Q0:=ℚ∩[−1,1]. For each q∈Q0, consider the translate q+V.

If q,r∈Q0 and q≠r, then (q+V)∩(r+V)=∅. Indeed, if q+v=r+w, then v−w=r−q∈ℚ, so v∼w. Since V contains only one representative from each equivalence class, v=w, and then q=r, a contradiction.

Also, [0,1]⊆⋃q∈Q0(q+V)⊆[−1,2]. The left inclusion holds because every x∈[0,1] is equivalent to some v∈V, so x−v∈ℚ∩[−1,1]. The right inclusion holds because q∈[−1,1] and V⊆[0,1].

Suppose, for contradiction, that outer measure were additive for every pair of disjoint subsets of ℝ. Then it would be additive for every finite disjoint union. By translation invariance, each q+V has outer measure omes⁡(V). Since every finite union of these disjoint translates is contained in [−1,2], order preservation and the outer measure of a closed interval give nomes⁡(V)≤3 for every n∈ℕ1. Hence omes⁡(V)=0.

Because Q0 is countable, countable subadditivity gives omes⁡(⋃q∈Q0(q+V))≤∑q∈Q0omes⁡(q+V)=0. But this union contains [0,1], so by order preservation and the closed interval computation, its outer measure is at least 1, a contradiction. Therefore outer measure cannot be additive on all disjoint pairs of subsets of ℝ.

No Countably Additive Translation Invariant Extension of Length to All Subsets
There is no function μ:𝒫(ℝ)→[0,∞] such that
  • μ(I)=ℓ(I) for every open interval I⊆ℝ,
  • μ(⋃k=1∞Ak)=∑k=1∞μ(Ak) for every pairwise disjoint sequence A1,A2,…⊆ℝ,
  • μ(t+A)=μ(A) for every t∈ℝ and every A⊆ℝ.

Assume, for contradiction, that such a function μ exists. Use the same representative set V⊆[0,1] and the same countable set Q0=ℚ∩[−1,1] from the proof of outer measure is not additive. The sets q+V, for q∈Q0, are pairwise disjoint, their union contains [0,1], and their union is contained in [−1,2].

By translation invariance of μ, each set q+V has the same μ-value as V. Since every finite union of these sets is contained in [−1,2]⊆(−2,3), countable additivity, monotonicity, and the extension-of-length property imply nμ(V)=μ(⋃j=1n(qj+V))≤μ((−2,3))=5 for every finite list q1,…,qn of distinct elements of Q0. Hence μ(V)=0.

Now use countable additivity on the disjoint sequence of all translates q+V, q∈Q0. We get μ(⋃q∈Q0(q+V))=∑q∈Q0μ(q+V)=0. But (0,1) is contained in that union, so monotonicity, which follows from countable additivity, gives 1=μ((0,1))≤μ(⋃q∈Q0(q+V))=0, a contradiction. Therefore no countably additive translation-invariant extension of interval length can be defined on all subsets of ℝ.