Let $E$ be a reflexive $ \mathbb K$−Banach space and assume that $M$ is a convex, closed, bounded subset of $E.$ Prove that for any $x ∈ E$, there exists $x_0 ∈ M$ so that $|x−x_0| = \inf\{|x−y| :y ∈ M \}$.
I got the hint to use Fenchel-Rockafellar Theorem (also known as Fenchel's Duality Theorem) and then use the weak* topology $\sigma(E^*,E)$.
But I don't see the use of applying this theorem in this case. Why does one need this and how does one prove this statement using this particular theorem?
It is the classical result in convex analysis. You do not actually need Fenchel duality here if you combine the following three basic facts:
P.S. The set does not have to be bounded if you use the third mentioned variant of the Weierstrass theorem.