I get confused by my (faked) intuition that all subnets of a sequence should also be a subsequence. This turns out to be wrong, and I try to seek for easy example.
The following is the easiest one:
Example. Let I be the set of vectors (n1,n2,…), where ni∈N for each i and n1<n2<⋯. The cardinality of I is easily seen to be |R|. Now our desired sequence will be a sequence of functions defined on I as follows:
Let i=(n1,n2,…)∈I, we define fn(i)={(−1)k,if n=nk,0,otherwise. It is easy to see that given an i=(n1,n2,…)∈I, {fnk(i)}={(−1)k} diverges.
With a little abuse of notation, we define fn=(fn(i))I. Now f1,f2,⋯∈[−1,1]I. By Tychonoff's Theorem f1,f2,⋯∈[−1,1]I is compact w.r.t. the product topology, therefore {fn}, being a net, must have a convergent subnet by a standard exercise on nets.
We claim that {fn} has no convergent subsequence. Suppose it does, then there is {nk} such that {fnk} converges w.r.t. product topology. By definition, it has coordinatewise convergence: For every i∈I, fnk(i) converges. This is a contradiction if we choose i=(n1,n2,…).◼
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