Abstract
We develop an iterative method for solving the KKT system of the semi-infinite programming (SIP) problem. At each iteration, we solve the KKT system of a nonlinear programming problem with finite constraints by a semismooth Newton method. The algorithm either terminates at a KKT point of the SIP problem in finitely many iterations or generates an infinite sequence of iterates whose any accumulation point is a KKT point of the problem. We also analyse the convergence rate of the method. Preliminary numerical results are reported.
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