I just wrote down a sentence like this
This is __ (infinite) subset.
Should I use a or an here? Do I consider what's in the parenthesis when choosing the article?
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You should usually consider what is in the brackets, if it is part of the text. In this case "infinite" is part of the text and you would use "an".
Imagine you are reading the text to someone. Would you speak the words in the brackets? if so then you should consider the sound of those words.
It is hard to imagine situation where you wouldn't use "an". Here is an artificial one. You need to provide a reference for there being only one so you put the citation after the word "a". You wouldn't read the citation text if speaking a paper out loud.
This is a (Elmer, 2017) subset.
However, don't do that. It looks horrible and you don't need to put the citation there.
You don't really need to use brackets around "infinite". If it is useful I would just include it. If it is truly parenthetical then you should consider just removing it.