For $n\in \mathbb{N}$ let $U \subseteq \mathbb{R^n} $ be an open set. Show that there exists sequence $K_m$ of compact subsets of $U$ that fulfills two conditions:
- $K_m\subseteq K_{m+1} $ for all $m \in \mathbb{N}$
- $\bigcup\limits_{m\in\mathbb{N}} {K_m}=U$
I'm really terrible when it comes to proofs related to compactness, I believe I can start by assuming every $K_m$ is bounded and closed because of Heine-Borel theorem but I don't know how to proceed further.