For the sake of completeness

Let’s prove the completeness of \ell^p. The argument consists of two steps.

Claim 1. Suppose X is a normed space in which every absolutely convergent series converges; that is, \sum_{n=1}^{\infty} x_n converges whenever x_n\in X are such that \sum_{n=1}^{\infty} \|x_n\| converges. Then the space is complete.

Proof. Take a Cauchy sequence \{y_n\}\subset X. For j=1,2,\dots find an integer n_j such that \|y_n-y_m\|<2^{-j} as long as n,m\ge n_j. (This is possible because the sequence is Cauchy.) Also let n_0=1 and consider the series \sum_{j=1}^{\infty} (y_{n_{j}}-y_{n_{j-1}}). By the hypothesis this series converges. Its partial sums simplify (telescope) to y_{n_j}-y_1. Hence the subsequence \{y_{n_j}\} has a limit. It remains to apply a general theorem about metric spaces: if a Cauchy sequence has a convergent subsequence, then the entire sequence converges. This proves Claim 1.

Claim 2. Every absolutely convergent series in \ell^p converges.

Proof. The elements of \ell^p are functions from \mathbb N to \mathbb C, so let’s write them as such: f_j\colon \mathbb N\to \mathbb C. (This avoids confusion of indices.) Suppose the series \sum_{j=1}^{\infty} \|f_j\| converges. Then for any n the series \sum_{j=1}^{\infty} |f_j(n)| also converges, by Comparison Test. Hence \sum_{j=1}^{\infty} f_j(n) converges (absolutely convergent implies convergent for series of real or complex numbers). Let f(n) = \sum_{j=1}^{\infty} f_j(n). So far the convergence is only pointwise, so we are not done. We still have to show that the series converges in \ell^p, that is, its tails have small \ell^2 norm: \sum_{n=1}^\infty |\sum_{j=k}^{\infty} f_j(n)|^p \to 0 as k\to\infty.

What we need now is a dominating function, so that we can apply the Dominated Convergence Theorem. Namely, we need a function g\colon \mathbb N\to [0,\infty) such that
(1) \sum_{n=1}^{\infty} g(n)<\infty, and
(2) |\sum_{j=k}^{\infty} f_j(n)|^p \le g(n) for all k,n.

Set g=(\sum_{j=1}^{\infty} |f_j|)^p. Then (2) follows from the triangle inequality. Also, g is the increasing limit of functions g_k =(\sum_{j=1}^k |f_j|)^p, for which we have
\sum_n g_k(n) \le (\sum_{j=1}^k \|f_j\|)^p \le (\sum_{j=1}^{\infty} \|f_j\|)^p<\infty
using the triangle inequality in \ell^p. Therefore, \sum_n g(n)<\infty by the Monotone Convergence Theorem.

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