A perturbation method for solving linear semi-infinite programming problems

This paper discusses a class of linear semi-infinite programming problems with finite number of variables and infinitely many constraints over a compact metric space. The “adding constraint method” for solving linear semi-infinite programming problems is introduced in Section 2. The “perturbation method” for solving regular linear programming problems is introduced in Section 3. Based on these two methods, the “perturbation method” for solving linear semi-infinite programming problems is proposed with a proof for the convergence of the “perturbation algorithm”.