Let $X\subseteq\mathbb R^n$ be a convex set. Can we always find a sequence $(X_n)_{n\geq 0}$ of sets subject to the following conditions?
- The sequence $(X_n)_{n\geq 0}$ is increasing, that is, $X_0\subseteq X_1\subseteq X_2\subseteq\cdots$.
- The $X_n$ are convex and compact.
- The union $\bigcup_{n\geq 0}X_n$ equals $X$.
I already suggested a solution here, but with no success.