A numerical method is proposed for solving a sort of nonlinear continuous constrained minimax problem

in which the objective function and the constrained functions are both continuously differentiable.The maximum-entropy function of discrete maximum problem and the maximum-entropy function of continuous maximum problem and the penalty function are used to transform the continuous constrained minimax problem into unconstrained differentiable problem.Basic algorithm is established.Numerical examples are given and show the efficiency and the reliability of the algorithm.