A purification algorithm for semi-infinite programming

In this paper the authors present a purification algorithm for semi-infinite linear programming. Starting with a feasible point, the algorithm either finds an improved extreme point or concludes with the unboundedness of the problem. The method is based on the solution of a sequence of linear programming problems. The study of some recession conditions has allowed the authors to establish a weak assumption for the finite convergence of this algorithm. Numerical results illustrating the method are given.