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arXiv · 2510.04736

Quantum Subgradient Estimation for Conditional Value-at-Risk Optimization

Vasilis Skarlatos·Nikos Konofaos
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Abstract

Conditional Value-at-Risk (CVaR) is a leading tail-risk measure in finance, central to both regulatory and portfolio optimization frameworks. Classical estimation of CVaR and its gradients relies on Monte Carlo simulation, incurring $O(1/\epsilon^2)$ sample complexity to achieve $\epsilon$-accuracy. In this work, we design and analyze a quantum subgradient oracle for CVaR minimization based on amplitude estimation. Via a tripartite proposition, we show that CVaR subgradients can be estimated with $O(1/\epsilon)$ quantum queries, even when the Value-at-Risk (VaR) threshold itself must be estimated. We further quantify the propagation of estimation error from the VaR stage to CVaR gradients and derive convergence rates of stochastic projected subgradient descent using this oracle. Our analysis establishes a near-quadratic improvement in query complexity over classical Monte Carlo. Numerical experiments with simulated quantum circuits confirm the theoretical rates and illustrate robustness to threshold estimation noise. This constitutes the first rigorous complexity analysis of quantum subgradient methods for tail-risk minimization.

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Vasilis Skarlatos, Nikos Konofaos. 2025-10-06. Quantum Subgradient Estimation for Conditional Value-at-Risk Optimization. https://arxiv.org/abs/2510.04736

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