When we make a measurement, the state of the universe appears to collapse, meaning any state that is not consistent with that measurement disappears. This means the other electron is left in the opposite spin state. (Important aside here, some people believe the wave function collapses, "Copenhagen interpretation" and some people believe the wave function doesn't change but the the brain of the observer correlates/entangles with the electron, "Many Worlds Interpretation". Either way there is an operational collapse of the wave function.)
A special case for a wave function is when the coefficients are arranged so that state of one particle, say particle 1 spin, is symmetric no matter what the state of another particle, particle 2, is. This special case is when particles are NOT entangled.
(Edit: added paragraph on measurement)
Maybe this question just reduces to “how can we tell the difference between two entangled particles having always been in some state (but we didn’t know it) vs. being simultaneously in both states until we make a measurement?”
Based on other comments in this post, it seems like the answer may be: Bell’s theorem proves that classical explanations have an upper bound on correlations between the particles, but quantum mechanics predicts a correlation the violates the classical upper bound. And we can experimentally test the correlations in practice.
This is all very hard to wrap my head around.
Of course, it's unintuitive and unsettling, so you could generate other theories about other dimensions if you like. But as far as predicting the results of any experiments we can do, QM is all you need.
Also, there are two very different theories of relativity, the special and the general. Special relativity is taught in 1st year undergraduate physics, you really only need high school math & physics, plus an open mind, to understand it. This has E = mc^2, twin paradox, length contraction, time dilation, speed of light as a limit. It's actually a pretty small topic, it usually doesn't have a separate course because it wouldn't fill a one semester course. QM is fully consistent with Special Relativity.
The other is general relativity, which revises gravity in light of special relativity. This is a much bigger topic and typically taught in grad school, although there are some undergrad texts now that don't require math as advanced as the grad school ones. QM and GR are incompatible, and the search for a "quantum theory of gravity" is a key plank in any "theory of everything."
Combining gravity, which needs great mass, with QM, which needs small space scales, is "hard" to do in a lab.
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