Yes. If you relax the constraint to be on _or in_ the polyhedron it becomes a convex optimization problem, moreover the solution is always on the boundary, which means that it's on the polyhedron.
Some special cases are where an entire face of the polyhedron optimizes the function. There's also a degenerate case ($w=0$) where any point optimizes the function.
The Wikipedia article on linear programming briefly mentions this. It's one of the properties that the Simplex algorithm for solving linear programs relies on.