Proof that the set $\{ x \in R^n | Ax \leq b, Cx = d \}$ is convex
Suppose $Ax\leq b,Cx=d$ and $Ay\leq b,Cy=d$. Now, $$A(\alpha x+(1-\alpha )y)=\alpha Ax+(1-\alpha )Ay\leq\alpha b+(1-\alpha )b=b(\alpha +1-\alpha)=b$$ and similarly one can show $C(\alpha x+(1-\alpha )y)=d$.
HINT: Via the definition. Define the set $S$, and let $X_1, X_2 \in S$. Then $$\begin{cases} AX_1\le b, CX_1=d \\ AX_2\le b, CX_2=d \\ \end{cases} $$ The convex combination of $X_1$ and $X_2$ is $X=\alpha X_1 + (1-\alpha) X_2$, where $\alpha\in[0,1]$.
How to verify that X belongs to the set S?