Assume there is a set $S$ in $\mathbb{R}^2 $ that is a square with $x \in [-1 ,1]$ and $y\in [-1,1]$. I need to prove that this set is convex. Hence, I thought of the following:
Suppose $a, b \in S$ such that $a = (x_1, y_1)$, $b = (x_2, y_2)$ and $\forall \theta \in [0,1]$ the following must hold:
$$(x,y) = \theta a + (1-\theta) b \in S$$
So I need to prove that:
$$||(x,y)|| = ||(\theta x_1 + (1-\theta) x_2, \theta y_1 + (1-\theta ) y_2 )|| \leq \sqrt{2}$$
Is this correct and how can I continue?