A sequence $(â_n)$ in the dual space $X^*$ of a Banach space $X$ is said to be weak* convergent to $â â X^*$ if
\[
â_n(x) â â(x) \text { for all } x â X .
\]
(a) Show that weak* convergent sequences are bounded.
Proof. $â_n(x)$ bounded for all $x â X$. By Uniform Boundedness Principle $(â_n)$ is bounded.
(b) Show that if $X$ is separable, then the closed unit ball of $X^*$ is weak* sequentially compact, i.e. every sequence $(â_n)$ in $X^*$ with $\|â_n\|_* ⊽ 1$ has a weak* convergent subsequence.
%[Hint: Consider a countable dense subset $S=\{x_n, n â â\}$ and use a diagonal sequence argument to construct a subsequence $(â_{n_k})$ such that $â_{n_k}(x_m)$ is convergent for every $m$.]
% Alaoglu https://dept.math.lsa.umich.edu/~adellape/PDFS/weakconvergence.pdf
Proof. Let $\{x_k\}$ be the dense set in the separable space $X$.
Let $\{â_n\}$ be a sequence in the closed unit ball of $X^*$, so $\|â_n\|_*⤠1$, we need to find a weak* convergent subsequence.
The sequence $\{â_n(x_1)\}$ of real numbers is bounded ($âľ|â_n(x_1)|â¤\|â_n\|_*\|x_1\|â¤\|x_1\|$) and thus contains a convergent subsequence which we denote as $\{â_{n 1}(x_1)\}$ (Bolzano-Weierstrass). Similarly, $\{â_{n 1}(x_2)\}$ is also bounded and contains a convergent subsequence $\{â_{n 2}(x_2)\}$. Continuing in this fashion to extract convergent subsequences $\{â_{n k}(x_k)\}$, we then form the diagonal sequence $\{â_{n n}\}$ in $X^*$ which is a subsequence of $\{â_n\}$. Note that as the way we build $\{â_{n n}\}$, we have $\{â_{n n}(x_k)\}$ converges. Thus the sequence $\{â_{n n}\}$ converges on the dense subset $\{x_k\}$ of $X$.
Next we need to prove that $\{â_{n n}\}$ converges weak* to an element of $X^*$.
Fix $x â X$ and $Ďľ>0$. Then for any $n, m, k$, we have
\[
|â_{n n}(x)-â_{m m}(x)| â¤|â_{n n}(x)-â_{n n}(x_k)|+|â_{n n}(x_k)-â_{m m}(x_k)|+|â_{m m}(x_k)-â_{m m}(x)|
\]
First $|â_{n n}(x)-â_{n n}(x_k)|=|â_{n n}(x-x_k)|â¤\|â_{n n}\|_*\|x-x_k\| â¤\|x-x_k\|$.
Similarly, $|â_{m m}(x_k)-â_{m m}(x)| â¤\|x-x_k\|$.
As $\{x_k\}$ is dense in $X$, choose $k$ so that $\|x_k-x\|<\frac{Ďľ}{3}$.
As $\{â_{n n}(x_k)\}$ converges, $\{â_{n n}(x_k)\}$ is Cauchy. Thus there exists $N$ such that for all $n, m>N$, we have $|â_{n n}(x_k)-â_{m m}(x_k)|<\frac{Ďľ}{3}$. Thus we have $|â_{n n}(x)-â_{m m}(x)|<Ďľ$. Then we know that $\{â_{n n}(x)\}$ is Cauchy and converges.
Define a functional $f$, $f(x)=\lim_n â_{n n}(x)$.
To prove $fâX^*$ we prove that it is linear and bounded.
Clearly $f$ is linear.
To prove that $f$ is bounded, we have
\begin{align*}
|f(x)|&=|\lim â_{n n}(x)|\\
& =\lim|â_{n n}(x)|\\
& â¤\lim\|â_{n n}\|\|x\|\\
& ⤠\|x\|
\end{align*}
Thus $f$ is linear and bounded. We have $â_{n n}(x)$ converges to $f(x)$ for all $x$. Thus $\{â_{n n}\}$ converges weak* and the closed unit ball in $X^*$ is weak* compact.