What do you do when you live in a area that is hard to be frugal in?

Ive lived in the city my whole life and I love it. I don't want to live in the burbs or country. The only problem is that it is expensive. Housing is expensive, cars are expensive, food is expensive. Obviously I can't ever live in a tiny house or live in a van. I definitely can't buy the generic store brand of food. The only thing I could do is not spend money but frugal stuff and travel the world. Does anyone know of anything else?