A Decomposition-Based Data-Driven Branch-and-Bound Approach for Black-Box Global Optimization

Abstract

Many scientific and engineering applications require the global optimization of expensive black-box functions. In high-dimensional settings, however, achieving computational scalability is a major challenge. To address this challenge, we propose a distributed spatial branch-and-bound framework that exploits partially separable structure for the global optimization of box-constrained black-box problems. The proposed framework adopts a two-layer structure in which branching is performed only on a lower-dimensional set of coupling variables in an outer layer. Within each outer node, the remaining non-overlapping (private) variables, which appear independently across blocks, have their domains partitioned and explored in parallel within an inner layer, resulting in a naturally parallelizable framework that is well suited for implementation on multi-core CPU architectures. At each node, valid upper bounds are obtained via sampling, with optional refinement using a local solver, while lower bounds are computed using data-driven convex underestimators constructed over partitions of the private variables. A residual-based correction and finite-sample validity analysis provide conditions under which the partitionwise underestimators are valid lower bounds, while the proposed branching and refinement mechanism establishes convergence to an $ε$-global optimum. Numerical studies on benchmark and ODE-constrained parameter-estimation problems demonstrate improvements in both sampling efficiency and computational performance relative to monolithic approaches.