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Nov 11, 2017 at 17:15 comment added Guillaume Indeed Denis Serre is referring to exposed faces, while the question was about faces, which is a more general definition. More about these two notions with examples/counterexamples can be found in Convex Analysis and Minimization Algorithms I, by J.B. Hirriart-Hurruty and C. Lemaréchal.
Oct 31, 2017 at 14:10 comment added Janko Bracic I have upvoted the answer. It seems that the reasoning is correct at least for some faces. However it is not clear to me, why a face of $K$ is an intersection of $K$ and a supporting hyperplane. It seems to me that faces with this property are exposed faces. What if $F$ is a face of $K$ which is not exposed?
Oct 30, 2017 at 19:09 history answered Denis Serre CC BY-SA 3.0