This is a deeper question of this question I asked: If all of the sequences in $U$ are not convergent, is $U$ closed?.
I know that $U=\left\{(1+1 / n) e_{n}\right\}$ is closed, where $\left\{e_{n}\right\}$ is an orthonormal sequence in an infinite dimensional Hilbert space $X$.
Now the question is: Is the convex hull of $U$ closed?
In fact, I am trying to construct a conterexample of this statement:
Let $X$ be a Banach space, $U \subset X$ a closed, convex set, and $x_{0} \in X \backslash U .$ Then there exists a point $y \in U$ such that $\left\|y-x_{0}\right\|=d\left(U, x_{0}\right)$.
This example works when we do not require the convexity of $U$: just let $x_0$ be the origin. When it comes to convexity, I also think about using Hahn-Banach to find a hyperplane to separate $\{x_0\}$ and $U$, but it seems useless. Or maybe the statement is true and how do we prove it?