Let us assume that $X$ is a Tychonoff space and that there exists a map $\psi: X \to (0,\infty)$ such that $K_R := \psi^{-1}((0,R])$ is compact for all $R > 0$. My question is: is $X$ exhaustible by compacts?
Note that if $\psi$ is bounded, then there exists an $R>0$ such that $\psi(x) \leq R$ for all $x \in X$, implying that $X = K_R$ is compact. Being compact, in turn, implies that $X$ exhaustible by compacts.
However, if $\psi$ is unbounded, while it's still clear to me that $X$ is $\sigma$-compact, it's not clear whether we would have a sequence of compacts $(K_n)_{n\geq 1}$ such that $K_n \subset \text{int}(K_{n+1})$.
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We do not assume $\psi$ to be continuous, otherwise it's rather straightforward.
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Ultimately, I want to find a way to guarantee that, given an arbitrary compact $K \subset X$, there exists a $K_R = \psi^{-1}(0,R]$ such that $K \subset K_R$. This without assuming the continuity of $\psi$.