Proof is set in modern-day Chicago, Illinois. The author has challenged himself by limiting the setting entirely to the back porch of Robert's house. Yet as confining as this setting seems, it is actually an inspired choice. David Auburn could have just as easily chosen to use one of the rooms inside the house to set all of his scenes. By setting each scene on the back porch, instead, he contrives a setting in which the characters are always either on their way in, or on their way out of the house.