[step:Build a compact parameter space for inscribed ellipsoids]
Define the diameter of $K$ by
\begin{align*}
D := \sup\{|x-y| : x,y \in K\}.
\end{align*}
Since $K$ is compact, $D < \infty$. Let $\operatorname{Sym}(n)$ denote the finite-dimensional real [vector space](/page/Vector%20Space) of symmetric $n \times n$ matrices, identified with symmetric linear maps $\mathbb{R}^n \to \mathbb{R}^n$. Consider the parameter set
\begin{align*}
\mathcal{P}
:=
\{(a,S) \in K \times \operatorname{Sym}(n) : S \geq 0,\ \|S\|_{\mathrm{op}} \leq D/2,\ E(a,S) \subset K\}.
\end{align*}
We claim that every ellipsoid contained in $K$ is represented by some element of $\mathcal{P}$.
Indeed, suppose $E(a,S) \subset K$ with $S = S^\top \geq 0$. First, $a \in K$ because $a \in E(a,S)$, obtained by taking $0 \in \overline{B}$. Next, for every $u \in \mathbb{R}^n$ with $|u|=1$, both $a+Su$ and $a-Su$ lie in $K$. Therefore
\begin{align*}
2|Su| = |(a+Su)-(a-Su)| \leq D.
\end{align*}
Taking the supremum over all unit vectors $u$ gives $\|S\|_{\mathrm{op}} \leq D/2$.
The set $\mathcal{P}$ is compact. The conditions $a \in K$, $S=S^\top$, $S \geq 0$, and $\|S\|_{\mathrm{op}} \leq D/2$ define a closed and bounded subset of the finite-dimensional space $\mathbb{R}^n \times \operatorname{Sym}(n)$. The containment condition is closed: if $(a_j,S_j) \in \mathcal{P}$ and $(a_j,S_j) \to (a,S)$, then for every $x \in \overline{B}$,
\begin{align*}
a_j + S_jx \in K
\end{align*}
for all $j$, and since $K$ is closed,
\begin{align*}
a+Sx = \lim_{j \to \infty}(a_j+S_jx) \in K.
\end{align*}
Thus $E(a,S) \subset K$, so $(a,S) \in \mathcal{P}$.
[/step]