You might want to know a reason why we need to prepare a set function.
Saying brief words, because a measure is a set function and a measure space is based on a measure (e.g. a set function). However it might not be easy to understand these relations.
As a set function is the mapping from a set to a real number,
the input values or the arguments of the function are sets.
Therefore, the domain of the set function must be a family of sets.
In an elementary level, a function will be defined on a space (or a universal set),
after creating the space (e.g. $\mathbb{R}^n$).
We can not give a value of an element of a space to the set function, and
we must give a subset of a space.
It is not enough to just only define the ordinary space for a set function.
That is to say, for operating a set function, we have to define a space and subsets in the space.
Measure spaces need a set function and a family of sets in the space.
Usually, a measure space is written by the triplet $(\Omega, \mathcal{F},m)$ , where
$\Omega$ is a universal set or a whole space,
$\mathcal{F}$ is a family of subsets in $\Omega$ , and
$m$ is a measure (a set function).
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