Helly's Theorem states the following. Suppose $X_1,X_2,...,X_N$ are convex sets in $\mathbb{R}^d$, such that for any index-set $I$ with $|I| \leq h(d) := d+1$, we have $\bigcap_{i \in I} X_i \neq \varnothing$. Then $\bigcap_{i=1}^N X_i \neq \varnothing$.
Let $f: \mathbb{R}^d \times \mathbb{R}^n \rightarrow \mathbb{R}$ be such that for all $x \in \mathbb{R}^d$, $y \mapsto f(x,y)$ is convex, and for all $y \in \mathbb{R}^n$, $x \mapsto f(x,y)$ is convex. Suppose $n \leq d$.
Define the sets $$ X_i := \{ x \in \mathbb{R}^d \mid f( x, y_i ) \leq 0 \}, \ \forall i = 1, 2, ..., N,$$ where $y_1, ..., y_N \in \mathbb{R}^n$ are given vectors.
I am wondering if Helly's Theorem holds true with Helly's number $h$ depending on $n$, not on $d$.