1. Quantum Monte Carlo Integration for Simulation-Based Optimisation
- Author
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Cui, Jingjing, de Brouwer, Philippe J. S., Herbert, Steven, Intallura, Philip, Kargi, Cahit, Korpas, Georgios, Krajenbrink, Alexandre, Shoosmith, William, Williams, Ifan, and Zheng, Ban
- Subjects
Quantum Physics - Abstract
We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematical finance. To this end, we conduct a thorough analysis of all systematic errors arising in the formulation of quantum Monte Carlo integration in order to better understand the resources required to encode various distributions such as a Gaussian, and to evaluate statistical quantities such as the Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) of an asset. Finally, we study the applicability of quantum Monte Carlo integration for fundamental financial use cases in terms of simulation-based optimisations, notably Mean-Conditional-Value-at-Risk (Mean-CVaR) and (risky) Mean-Variance (Mean-Var) optimisation problems. In particular, we study the Mean-Var optimisation problem in the presence of noise on a quantum device, and benchmark a quantum error mitigation method that applies to quantum amplitude estimation -- a key subroutine of quantum Monte Carlo integration -- showcasing the utility of such an approach.
- Published
- 2024