how to build a high-power (4kW) switched-mode DC-DC converter?
Designing a power supply is not a trivial task. I've spent more than 10 years in the employ of professional companies which do this sort of work.

Some thoughts:


Input-side - that's huge power you'll be drawing from the mains. I'd estimate that you'll need at least 20A service. You'll also need some hefty EMI filtering to avoid polluting the mains with the switching noise from the converter. Don't forget about inrush limiting, surge suppression, fuse sizing and X-capacitor discharge circuitry.
PFC - Most designs need some sort of power-factor correction to ensure that sinusoidal current is being drawn from the mains. You'll most likely need a multiphase PFC to handle this sort of current effectively.
DC/DC converter: You'll definitely need a soft-switching topology to achieve any reasonable sort of efficiency on the primary side. Look into the zero-voltage-transition full-bridge converter, aka phase-shift full-bridge (Intersil, Texas Instruments and others make controllers for this sort of topology) and look into really rugged MOSFETS (I've used IRFPS40N50Ls for 3kW designs). You'll need really good transformer core material (consider Ferroxcube or Nicera) to keep the losses low. You may want to even consider running two 2kW converters, and sum the currents on the secondary-side with a current sharing circuit.
Rectification: There isn't an efficient way to rectify such high voltage. You won't be able to take advantage of synchronous rectifiation (in my estimation) so you'll be burning power in Schottky diodes.
Thermal management: You need to ensure that your magnetics and switching devices are all in their safe operating areas, and design heatsinks / install fans to ensure that they all stay out of any potential thermal runaway conditions.
Protections: Over voltage, over current, over temperature, short-circuit, line surge, ESD, EFT ... all things that you need to design protection against.
Regulatory / Safety: You'll need to ensure that you meet proper creepages and clearences, that your touch current is safe, that all the critical magnetics and power train devices do not result in the power supply becoming unsafe during any single abnormal event, that your thermal management is keeping the parts within their safe operating areas, that you're using regulatory-approved parts for safety-critical functions (X- and Y-caps, MOVs, optoisolators, etc.)


Are you sure you really want to try and design such a thing yourself? There are books out there that explain how to design, but becoming proficient is a life's work in itself.