The document defines a convex set as a set in Euclidean space where the line segment between any two points in the set is also contained in the set. It provides examples of convex and non-convex sets in R1 and R2. Additionally, it defines a convex function as a function where the epigraph (set of points above the graph) forms a convex set, and whose value at any interpolated point between two inputs is less than or equal to the linear interpolation of the function values at the two inputs.