We propose a decomposition based method for solving mixed-integer nonlinear optimization problems with "black-box" nonlinearities, where the latter, e.g., may arise due to differential equations or expensive simulation runs. The method alternatingly solves a mixed-integer linear master problem and a separation problem for iteratively refining the mixed-integer linear relaxation of the nonlinearity. We prove that our algorithm finitely terminates with an approximate feasible global optimal solution of the mixed-integer nonlinear problem. Additionally, we show the applicability of our approach by three case studies from mixed-integer optimal control, from the field of pressurized flows in pipes with elastic walls, and from steady-state gas transport. For the latter we also present promising numerical results of our method applied to real-world instances.
View Towards Simulation Based Mixed-Integer Optimization with Differential Equations