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Jun 21, 2021 at 17:56 comment added Martin Väth An infinite-dimensional normed space is a famous example where no natural approach is known. In practice, all "usable" measures on such spaces have the property that most sets have infinite measure. If you want to have a ball with a finite measure in such a space, the measure becomes very unnatural (not translation invariant, extremely weighted, most sets have measure 0, etc.).
Jun 21, 2021 at 5:29 vote accept John D
Jun 21, 2021 at 0:37 comment added Jacob Manaker @JohnD: If your space is countable, then take counting measure. If it is uncountable and separable, then you can pull back Lebesgue measure via a Polish-space isomorphism to $\mathbb{R}$. If it is inseparable, then that sounds like a hard problem. (Do you consider a nontrivial measure on a separable strict subspace trivial?)
Jun 20, 2021 at 11:05 comment added John D Thanks for the answer! Follow up question: are you aware of a general method to define a finite(nontrivial) measure on the Borel sigma algebra of an arbitrary metric space?
Jun 20, 2021 at 7:25 history answered Martin Väth CC BY-SA 4.0