An entropy based central cutting plane algorithm for convex min-max semi-infinite programming problems

In this paper, we present a central cutting plane algorithm for solving convex min-max semi-infinite programming problems. Because the objective function here is non-differentiable, we apply a smoothing technique to the considered problem and develop an algorithm based on the entropy function. It is shown that the global convergence of the proposed algorithm can be obtained under weaker conditions. Some numerical results are presented to show the potential of the proposed algorithm.