[guided]We now justify the reconstruction formula for compact convex sets. Let $A \subset \mathbb{R}^n$ be nonempty, compact, and convex, and define
\begin{align*}
S_A := \bigcap_{u \in \mathbb{R}^n} \{x \in \mathbb{R}^n : u \cdot x \le h_A(u)\}.
\end{align*}
This is the set of all points that lie in every closed half-space whose boundary supports $A$ in some direction $u$.
The inclusion $A \subset S_A$ is immediate from the definition of $h_A$, but we spell it out. If $x \in A$, then $u \cdot x$ is one of the values over which the maximum defining $h_A(u)$ is taken. Hence, for every $u \in \mathbb{R}^n$,
\begin{align*}
u \cdot x \le \max_{a \in A} u \cdot a = h_A(u).
\end{align*}
Therefore $x$ belongs to every half-space in the intersection, so $x \in S_A$.
For the reverse inclusion, take a point $x \in \mathbb{R}^n \setminus A$. We need to find one direction $v$ whose support half-space contains $A$ but excludes $x$. Since $A$ is compact and the function $a \mapsto |x-a|$ is continuous, there exists $y \in A$ such that
\begin{align*}
|x-y|=\min_{a \in A}|x-a|.
\end{align*}
Define
\begin{align*}
v := x-y \in \mathbb{R}^n.
\end{align*}
Because $x \notin A$ and $y \in A$, we have $v \ne 0$.
We claim that the hyperplane perpendicular to $v$ through $y$ separates $x$ from $A$. Fix $z \in A$. For each $t \in [0,1]$, convexity of $A$ gives
\begin{align*}
y+t(z-y) \in A.
\end{align*}
Since $y$ minimizes the distance from $x$ to $A$, we have
\begin{align*}
|x-y|^2 \le |x-y-t(z-y)|^2.
\end{align*}
Using $v=x-y$, expand the square:
\begin{align*}
|x-y-t(z-y)|^2
&= |v-t(z-y)|^2 \\
&= |v|^2 - 2t\,v \cdot (z-y)+t^2|z-y|^2 \\
&= |x-y|^2 - 2t\,v \cdot (z-y)+t^2|z-y|^2.
\end{align*}
Thus, for every $t \in (0,1]$,
\begin{align*}
2\,v \cdot (z-y) \le t|z-y|^2.
\end{align*}
Letting $t \to 0^+$ gives
\begin{align*}
v \cdot (z-y) \le 0,
\end{align*}
or equivalently
\begin{align*}
v \cdot z \le v \cdot y.
\end{align*}
Because $z \in A$ was arbitrary,
\begin{align*}
h_A(v)=\max_{z \in A} v \cdot z \le v \cdot y.
\end{align*}
On the other hand,
\begin{align*}
v \cdot x
&= v \cdot y + v \cdot (x-y) \\
&= v \cdot y + |v|^2.
\end{align*}
Since $v \ne 0$, $|v|^2>0$, and therefore
\begin{align*}
v \cdot x > v \cdot y \ge h_A(v).
\end{align*}
So $x$ violates the defining inequality for $S_A$ in the direction $v$, namely $v \cdot x \le h_A(v)$. Hence $x \notin S_A$.
We have shown that every point outside $A$ is outside $S_A$, so $S_A \subset A$. Together with $A \subset S_A$, this proves $S_A=A$.[/guided]