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This work is an attempt to answer the question: How to use convex programming in shakedown analysis of structures made of materials with temperature-dependent properties. Based on recently established shakedown theorems and formulations, a dual relationship between upper and lower bounds of the shakedown limit load is found, an algorithmfor shakedown analysis is proposed. While the original problem is neither convex nor concave, the algorithm presented here has the advantage of employing convex programming tools.