In this paragraph we show that polytopes are convex sets. This property is important for eventually proving the Fundamental Theorem of LP. A set of points S in the n-dim space is convex, if the line segment connecting any two points , belongs completely in S. According to the previous mathematical definition of line segments, this definition of convexity is mathematically expressed as:
Figure 8 depicts the concept.
Figure 8: Convex sets
To show that a polytope is a convex set, we first establish that the solution space of any linear constraint (i.e., hyperplanes and half-spaces) is a convex set. Since a polytope is the intersection of a number of hyperplanes and half-spaces, the convexity of the latter directly implies the convexity of the polytope (i.e., a line segment belonging to each defining hyperplane and/or half-space will also belong to the polytope).
To establish the convexity of the feasible region of a linear constraint, let's consider the constraint:
and two points satisfying it. Then, for any , we have:
Adding Equations 21 and 22, we get:
i.e., point belongs in the solution space of the constraint.
A last concept that we must define before the statement of the Fundamental Theorem of LP, is that of the extreme point of a convex set. Given a convex set S, point is an extreme point, if each line segment that lies completely in S and contains point , has as an end point of the line segment. Mathematically,