TITLE: Non-empty intersection always exists
QUESTION [7 upvotes]: Consider a sequence of closed sets $A_n\subset \mathbb{R}$ such that $A_{n+1}\subset A_n$. Define 
$$
A = \bigcap\limits_n A_n.
$$
If $A_1$ is bounded then $A_n$ is compact for all $n$. Hence if $A_n$ are not empty for all $n$ then $A$ is not empty.
But given a metric space $X$, can we make it always compact with say
$$
\rho'(x,y) = \tan^{-1}\rho(x,y)
$$
where $\rho$ is an original metric and $\rho'$ is a new one. Also this procedure will preserve closeness of sets.
This mean that regardless of compactness of $A_1$, if $A_n$ are not empty for all $n$ then $A$ is not empty?
Edited: I would like to formulate the question more direct: if $A_1$ is no bounded but all $A_n$ are closed and non empty, does it mean that $A$ is not empty?

REPLY [4 votes]: There are several properties in play here: Compactness, boundedness and being closed. Compactness and being closed are topological properties. This means that if two metrics give the same collection of open sets (that is, the metrics are "topologically equivalent"), then they will also give the same collection of closed sets (obvious) and the same collection of compact sets. However, boundedness is not a topological property, for instance by the example you gave.
In every metric space, it is true that a compact set is bounded and closed. This implies, for instance, that if a set is compact w.r.t. one metric, then it is bounded w.r.t. any metric which is topologically equivalent to it. However, if a set if bounded w.r.t. to one metric, this says nothing about compactness of the set w.r.t. any metric. Indeed, one can always define a new equivalent metric which is bounded, in the way you did.
In $\mathbb{R}$ and more generally, in $\mathbb{R}^n$ (with the usual metric), the above relation also works backwords, that is: a closed and bounded set is compact. The problem here is that for most metrics, and for most metric spaces, this is no longer true. A  metric space for which this is true is said to have the Heine-Borel property. In some sense, such metrics are particularly good, since it is often easier to tell if a set is closed and/or bounded than if it is compact. Thus one would often like to do the opposite of what you did: to switch from a metric without the HB property to an equivalent metric with the HB property. Unfortunately, this is not always possible: for some metric spaces (which don't have the HB property), there doesn't exist any other metric (topologically equivalent to the original metric) which has the HB property.