Foundation of mathematical optimization relies on the urge to utilize available resources to their optimum. This leads to mathematical programs where an objective function is optimized over a set of constraints. The set of constraints can represent different structures, for example, a polyhedron, a box or a cone. Mathematical programs with cone constraints are called cone programs. A sub area of mathematical optimization is the one where the number of variables isfinite while the number of constraints is infinite, known as semi-infinite programming. In the first section of Chapter 1 we will start with a general introduction into the thesis. In the second section some basic definitions are given which are used throughout the thesis. The thir...