[step:Approximate arbitrary Sobolev maps and pass to the limit]
Fix $u\in W^{1,p}(U)$. Since $U$ is bounded and Lipschitz, the Sobolev piecewise affine approximation theorem on Lipschitz domains gives a sequence $(v_m)_{m=1}^{\infty}$ of functions satisfying the cubical exhaustion property used in the previous step and
\begin{align*}
v_m\to u\quad\text{in }W^{1,p}(U).
\end{align*}
The hypotheses of that approximation theorem are the bounded Lipschitz regularity of $U$ and the membership $u\in W^{1,p}(U)$.
After passing to a subsequence if necessary, $\nabla v_m\to\nabla u$ pointwise $\mathcal L^n$-a.e. on $U$. The continuity of the finite [convex function](/page/Convex%20Function) $f^{**}$ gives pointwise convergence of the integrands. The strong convergence $\nabla v_m\to\nabla u$ in $L^p(U;\mathbb R^n)$ implies uniform integrability of $\{|\nabla v_m|^p:m\in\mathbb N\}$. By the upper $p$-growth estimate $f^{**}(\xi)\le C(1+|\xi|^p)$ and the finiteness of $\mathcal L^n(U)$, the family $\{f^{**}(\nabla v_m):m\in\mathbb N\}$ is uniformly integrable. Vitali's convergence theorem therefore yields
\begin{align*}
\int_U f^{**}(\nabla v_m(x))\,d\mathcal L^n(x)\to \int_U f^{**}(\nabla u(x))\,d\mathcal L^n(x).
\end{align*}
For each $m\in\mathbb N$, the previous step gives a sequence $(v_{m,k})_{k=1}^{\infty}\subset W^{1,p}(U)$ such that $v_{m,k}\rightharpoonup v_m$ in $W^{1,p}(U)$ and
\begin{align*}
\limsup_{k\to\infty}F[v_{m,k}]\le \int_U f^{**}(\nabla v_m(x))\,d\mathcal L^n(x)+\frac{1}{m}.
\end{align*}
Let $(\Lambda_i)_{i=1}^{\infty}$ be a countable subset of the unit ball of the [dual space](/page/Dual%20Space) $(W^{1,p}(U))^*$ that is dense in the operator-norm topology; such a set exists because $W^{1,p}(U)$ is separable and reflexive for $1<p<\infty$ on bounded Lipschitz domains, by the reflexivity of Lebesgue and Sobolev spaces [citetheorem:8729] and separability of the corresponding $L^p$ components. By the [Rellich Kondrachov compactness theorem](/theorems/8731) [citetheorem:8731], the [weak convergence](/page/Weak%20Convergence) $v_{m,k}\rightharpoonup v_m$ in $W^{1,p}(U)$ implies $v_{m,k}\to v_m$ in $L^p(U)$ after taking the relevant tail of the recovery sequence; the hypotheses are the bounded Lipschitz regularity of $U$ and $1<p<\infty$. Choose $k(m)\in\mathbb N$ large enough that
\begin{align*}
\|v_{m,k(m)}-v_m\|_{L^p(U)}\le \frac{1}{m}
\end{align*}
and, for every $1\le i\le m$,
\begin{align*}
|\Lambda_i(v_{m,k(m)}-v_m)|\le \frac{1}{m},
\end{align*}
and
\begin{align*}
F[v_{m,k(m)}]\le \int_U f^{**}(\nabla v_m(x))\,d\mathcal L^n(x)+\frac{2}{m}.
\end{align*}
Define $u_m=v_{m,k(m)}$. The energy bound and the coercive lower estimate for $f$ give
\begin{align*}
c\|\nabla u_m\|_{L^p(U)}^p-C\mathcal L^n(U)\le F[u_m].
\end{align*}
The right-hand side is bounded because the integrals of $f^{**}(\nabla v_m)$ converge to the finite value $\int_U f^{**}(\nabla u(x))\,d\mathcal L^n(x)$. The $L^p$ estimate $\|u_m-v_m\|_{L^p(U)}\le 1/m$ and the strong convergence $v_m\to u$ in $W^{1,p}(U)$ give boundedness of $(u_m)_{m=1}^{\infty}$ in $L^p(U)$. Hence $(u_m-v_m)_{m=1}^{\infty}$ is bounded in $W^{1,p}(U)$.
The diagonal choice gives $\Lambda_i(u_m-v_m)\to0$ for every fixed $i$. Since the sequence is bounded in $W^{1,p}(U)$ and the set $(\Lambda_i)$ is dense in the dual unit ball in the operator-norm topology, every $\Lambda\in (W^{1,p}(U))^*$ is approximated uniformly on bounded subsets by some $\Lambda_i$. It follows that $\Lambda(u_m-v_m)\to0$ for every $\Lambda\in (W^{1,p}(U))^*$, which is exactly $u_m-v_m\rightharpoonup0$ in $W^{1,p}(U)$. Since $v_m\to u$ strongly in $W^{1,p}(U)$, we have $u_m\rightharpoonup u$ in $W^{1,p}(U)$. Therefore
\begin{align*}
\overline F[u]\le \liminf_{m\to\infty}F[u_m]\le \int_U f^{**}(\nabla u(x))\,d\mathcal L^n(x).
\end{align*}
[/step]