The relative entropy of entanglement $E_R$ is defined as the distance of a multi-partite quantum state from the set of separable states as measured by the quantum relative entropy. We show that this optimisation is always achieved, i.e. any state admits a (unique) closest separable state, even in infinite dimension; also, $E_R$ is everywhere lower semi-continuous. These results, which seem to have gone unnoticed so far, hold not only for the relative entropy of entanglement and its multi-partite generalisations, but also for many other similar resource quantifiers, such as the relative entropy of non-Gaussianity, of non-classicality, of Wigner negativity -- more generally, all relative entropy distances from the sets of states with non-negative $lambda$-quasi-probability distribution. The crucial hypothesis underpinning all these applications is the weak*-closedness of the cone generated by free states. We complement our findings by giving explicit and asymptotically tight continuity estimates for $E_R$ and closely related quantities in the presence of an energy constraint.
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