Geometrically, we look at the ideal I as a closed subscheme \mathrm{Spec}(R/I) \hookrightarrow \mathrm{Spec}(R), and in this setting, Prime Avoidance says that if \mathrm{Spec}(R/I) (or more precisely its image V_{R}(I)) contains the intersection of a finitely many irreducible closed subsets Z_{1}, \dots, Z_{r} of \mathrm{Spec}(R), then it must contain one Z_{i} of the closed subsets.
When R contains an infinite field, then this can be strengthened: \mathfrak{p}_{i} do note need to be prime ideals, but just ideals. Geometrically, this means that we do not need to require Z_{i} to be irreducible.
Prime Avoidance Lemma (over infinite fields). Let k be an infinite field and R a vector space over k (e.g., R can be a k-algebra). Let I be a subspace of R. Given finitely many proper subspaces \mathfrak{p}_{1}, \dots, \mathfrak{p}_{r} of R, if I is contained in the union of the subspaces, then there is a single \mathfrak{p}_{i} containing I.
Proof. We follow Hochster's notes. Replacing \mathfrak{p}_{i} with \mathfrak{p}_{i} \cap I, we may assume that \mathfrak{p}_{i} \subsetneq I. Then we show that I = \mathfrak{p}_{i} for some i.
Suppose for contradiction that I is not equal to any of \mathfrak{p}_{1}, \dots, \mathfrak{p}_{r}. Under this assumption, we may choose v_{i} \in I \setminus \mathfrak{p}_{i} for each 1 \leq i \leq r. Thus, the k-subspace J of I generated by v_{1}, \dots, v_{r} will not be equal to any \mathfrak{p}_{1} \cap J, \dots, \mathfrak{p}_{r} \cap J.
Focusing on J reduces our statement to the case where I is finite dimensional over k. Hence, we may assume that I = k^{n} for some n \geq 0. For each \mathfrak{p}_{i}, since it is not the whole k^{n}, there is a k-linear map L_{i} : k^{n} \rightarrow k such that L_{i} is not identically zero on I = k^{n} but it is on \mathfrak{p}_{i}. Since L_{i} is an 1 \times n row vector (a_{i1}, \dots, a_{in}), we may write L_{i}(x_{1}, \dots, x_{n}) = a_{i1}x_{1} + \cdots + a_{in}x_{n}. Now, consider the polynomial f(x_{1}, \dots, x_{n}) := \prod_{i=1}^{n}L_{i}(x_{1}, \dots, x_{n}). We note that f is a nonzero polynomial in k[x_{1}, \dots, x_{n}] because none of L_{i} are zero polynomials, but each L_{i} vanishes on \mathfrak{p}_{i}, and the union of \mathfrak{p}_{1}, \dots, \mathfrak{p}_{n} is k^{n}. Hence, we must have f(x_{1}, \dots, x_{n}) = 0 for any evaluation of x_{1}, \dots, x_{n} \in k. Since k is infinite, the only such polynomial is f = 0, a contradiction. \Box
Remark. Although we chose ring-friendly notations, the above statement is purely a statement about vector spaces over an infinite field k. It says: any vector space over an infinite field cannot be covered by finitely many proper subspaces.
Avoidance in geometry. Now, suppose that we have finitely many nonzero vectors (x_{i0}, \dots, x_{in}) \in k^{n+1} for 1 \leq i \leq r. For any fixed i, the vectors (a_{0}, \dots, a_{n}) \in k^{n+1} satsifying the equation a_{0}x_{i0} + \cdots + a_{n}x_{in} = 0 form a proper subsapce V_{i} of k^{n+1}. If k is infinite, then V_{1}, \dots, V_{r} cannot cover k^{n+1}, so there must be a vector (a_{0}, \dots, a_{n}) \in k^{n+1} that does not satisfy any of the r equations. This vector is necessarily nonzero because zero is in any vector space. This shows the following.
Proposition. Given any finitely many k-points of \mathbb{P}^{n}, there is a hyperplane avoiding all those points.
Q. Can we find a hyperplane in \mathbb{P}^{n} (over an infinite field k) that avoids any given finitely many points (not just k-points)?
The answer is yes.
Proof. Let \mathfrak{p}_{1}, \dots, \mathfrak{p}_{r} be homogeneous prime ideals in k[x_{0}, \dots, x_{n}] not containing (x_{0}, \dots, x_{n}), recalling that such prime ideals parametrize the points of \mathbb{P}^{n}_{k} = \mathrm{Proj}(k[x_{0}, \dots, x_{n}]). Using Prime Avoidance, all we need to show that there is a nonzero vector (a_{0}, \dots, a_{n}) \in k^{n+1} such that a_{0}x_{0} + \cdots + a_{n}x_{n} is not in \mathfrak{p}_{1} \cup \cdots \cup \mathfrak{p}_{r}. This has to be true because otherwise all of x_{0}, \dots, x_{n} must be in the union so that (x_{0}, \dots, x_{n}) must be in the union, but this would mean that one of \mathfrak{p}_{i} must be equal to (x_{0}, \dots, x_{n}), a contradiction. This finishes the proof \Box
Q. What about a projective variety (instead of \mathbb{P}^{n})?
The answer can be yes, but this is just a matter of definition.
Let X be a projective k-scheme. This means that we can assume X = \text{Proj}(k[x_{0}, \dots, x_{n}]/I) \hookrightarrow \mathbb{P}^{n}_{k}, for a homogenous ideal I in k[x_{0}, \dots, x_{n}] not containing (x_{0}, \dots, x_{n}). The line bundle \mathscr{O}_{\mathbb{P}^{n}}(1) pulls back to \mathscr{O}_{X}(1) under this inclusion. Thus, if k is an infinite field, for any finitely many points p_{1}, \dots, p_{r} \in X, we can find a hyperplane H \subset \mathbb{P}^{n} not containing any of p_{1}, \dots, p_{r}. If we say L is a nonzero linear form in k[x_{0}, \dots, x_{n}] (i.e., L is a global section of \mathscr{O}_{\mathbb{P}^{n}}(1)) presenting H, then L does not vanish on any of the points p_{1}, \dots, p_{r}, so its pull back L|_{X} does not either. Hence, the locus of L|_{X} is the "hyperplane" of X that does not pass through any of the points p_{1}, \dots, p_{r}.
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