Nested intervals extract a convergent subsequence ($|I_j|=(b-a)/2^j$)

Begin with a closed interval $I_0=[a,b]$ containing the entire bounded sequence. Split the interval at its midpoint. At least one of the two closed halves contains infinitely many indexed terms; choose such a half and repeat. This gives nested intervals $I_j$ with lengths $(b-a)/2^j$. The nested interval theorem, using completeness of the real numbers, supplies their unique common point $\ell$.

Choose $n_j>n_{j-1}$ with $x_{n_j}\in I_j$. Infinitely many indexed terms in $I_j$ guarantee that the next index can be chosen. Both $x_{n_j}$ and $\ell$ belong to $I_j$, soThis is a short existence proof, not necessarily a finite algorithm for an arbitrary input sequence: deciding which half contains infinitely many future terms may require mathematical knowledge about that sequence.