arXiv subjects

Friedrich Wagner

Publications and source records attributed to Friedrich Wagner.

16 recordsLinked to original sources

arXiv2025

Quantum Portfolio Optimization: An Extensive Benchmark

Recently, several researchers proposed portfolio optimization as a potential use case for quantum optimization. However, the literature is lacking an extensive benchmark quantifying the potential of quantum computers for portfolio optimization. In this work, we contribute to closing this gap. We provide a computational study, comparing quantum approaches against state-of-the-art classical methods on a meaningful, real-world instance set. In particular, we compare quantum annealing and the quantum approximate optimization algorithm against classical mixed-integer programming, simulated annealing, steepest descent local search, tabu search and a problem-tailored heuristic. We consider a volatility-minimizing variant of portfolio optimization which we show to be more difficult to solve for classical optimizers than return-maximizing or multi-objective formulations. Our benchmark data set comprises 250 instances with up to 1,000 assets from actual stock data. Due to hardware limitation, quantum methods could only be tested for instances with at most 30 assets. The results show that all instances can be solved to proven optimality by mixed-integer programming in the order of seconds. Moreover, the problem-tailored heuristic consistently outperforms quantum approaches in terms of solution quality for fixed runtime. Thus, we conclude that there is only very limited room for a potential quantum advantage for the considered variant of portfolio optimization.

quant-ph↗

arXiv2025

Optimized Qubit Routing for Commuting Gates via Integer Programming

Quantum computers promise to outperform their classical counterparts at certain tasks. However, existing quantum devices are error-prone and restricted in size. Thus, effective compilation methods are crucial to exploit limited quantum resources. In this work, we address the problem of qubit routing for commuting gates, which arises, for example, during the compilation of the well-known Quantum Approximate Optimization Algorithm. We propose a two-step decomposition approach based on integer programming, which is guaranteed to return an optimal solution. To justify the use of integer programming, we prove NP-hardness of the underlying optimization problem. Furthermore, we derive asymptotic upper and lower bounds on the quality of a solution. We develop several integer programming models and derive linear descriptions of related polytopes, which generalize to applications beyond this work. Finally, we conduct a computational study showing that our approach outperforms existing heuristics in terms of quality and exact methods in terms of runtime.

math.OC↗

arXiv2025

Optimized Circuit Cutting for QAOA Sampling Tasks

Circuit cutting was originally designed to retrieve the expectation value of an observable with respect to a large quantum circuit by executing smaller circuit fragments. In this work, however, we demonstrate the application of circuit cutting to a pure sampling task. In particular, we sample solutions to an optimization problem from a trained QAOA circuit. Here, circuit cutting leads to a broadening and shift of the bitstring distribution towards suboptimal values compared to the uncut case. To reduce this effect, we minimize the number of required cuts via integer programming methods. On the other hand, cutting reduces the circuit size and thus the impact of noise. Our experiments on quantum hardware reveal that, for large circuits, the effect of noise reduction outweighs the derogative effects on the bitstring distribution. The study therefore provides evidence that circuit cutting combined with optimized cutting schemes can both scale problem size and mitigate noise for near-term quantum optimization.

quant-ph↗

arXiv2025

BenchQC -- Scalable and modular benchmarking of industrial quantum computing applications

We present BenchQC, a research project funded by the state of Bavaria, which promotes an application-centric perspective for benchmarking real-world quantum applications. Diverse use cases from industry consortium members are the starting point of a benchmarking workflow, that builds on the open-source platform QUARK, encompassing the full quantum software stack from the hardware provider interface to the application layer. By identifying and evaluating key metrics across the entire pipeline, we aim to uncover meaningful trends, provide systematic guidance on quantum utility, and distinguish promising research directions from less viable approaches. Ultimately, this initiative contributes to the broader effort of establishing reliable benchmarking standards that drive the transition from experimental demonstrations to practical quantum advantage.

quant-ph↗

arXiv2024

Quantum and classical correlations in shrinking algorithms for optimization

Understanding the benefits of quantum computing for solving combinatorial optimization problems (COPs) remains an open research question. In this work, we extend and analyze algorithms that solve COPs by recursively shrinking them. The algorithms leverage correlations between variables extracted from quantum or classical subroutines to recursively simplify the problem. We compare the performance of the algorithms equipped with correlations from the quantum approximate optimization algorithm (QAOA) as well as the classical linear programming (LP) and semi-definite programming (SDP) relaxations. This allows us to benchmark the utility of QAOA correlations against established classical relaxation algorithms. We apply the recursive algorithm to MaxCut problem instances with up to a hundred vertices at different graph densities. Our results indicate that LP outperforms all other approaches for low-density instances, while SDP excels for high-density problems. Moreover, the shrinking algorithm proves to be a viable alternative to established methods of rounding LP and SDP relaxations. In addition, the recursive shrinking algorithm outperforms its bare counterparts for all three types of correlations, i.e., LP with spanning tree rounding, the Goemans-Williamson algorithm, and conventional QAOA. While the lowest depth QAOA consistently yields worse results than the SDP, our tensor network experiments show that the performance increases significantly for deeper QAOA circuits.

quant-ph↗

arXiv2024

Quantum Subroutines in Branch-Price-and-Cut for Vehicle Routing

Motivated by recent progress in quantum hardware and algorithms researchers have developed quantum heuristics for optimization problems, aiming for advantages over classical methods. To date, quantum hardware is still error-prone and limited in size such that quantum heuristics cannot be scaled to relevant problem sizes and are often outperformed by their classical counterparts. Moreover, if provably optimal solutions are desired, one has to resort to classical exact methods. As however quantum technologies may improve considerably in future, we demonstrate in this work how quantum heuristics with limited resources can be integrated in large-scale exact optimization algorithms for NP-hard problems. To this end, we consider vehicle routing as prototypical NP-hard problem. We model the pricing and separation subproblems arising in a branch-price-and-cut algorithm as quadratic unconstrained binary optimization problems. This allows to use established quantum heuristics like quantum annealing or the quantum approximate optimization algorithm for their solution. A key feature of our algorithm is that it profits not only from the best solution returned by the quantum heuristic but from all solutions below a certain cost threshold, thereby exploiting the inherent randomness is quantum algorithms. Moreover, we reduce the requirements on quantum hardware since the subproblems, which are solved via quantum heuristics, are smaller than the original problem. We provide an experimental study comparing quantum annealing to simulated annealing and to established classical algorithms in our framework. While our hybrid quantum-classical approach is still outperformed by purely classical methods, our results reveal that both pricing and separation may be well suited for quantum heuristics if quantum hardware improves.

quant-ph↗

arXiv2024

Optimized Noise Suppression for Quantum Circuits

Quantum computation promises to advance a wide range of computational tasks. However, current quantum hardware suffers from noise and is too small for error correction. Thus, accurately utilizing noisy quantum computers strongly relies on noise characterization, mitigation, and suppression. Crucially, these methods must also be efficient in terms of their classical and quantum overhead. Here, we efficiently characterize and mitigate crosstalk noise, which is a severe error source in, e.g., cross-resonance based superconducting quantum processors. For crosstalk characterization, we develop a simplified measurement experiment. Furthermore, we analyze the problem of optimal experiment scheduling and solve it for common hardware architectures. After characterization, we mitigate noise in quantum circuits by a noise-aware qubit routing algorithm. Our integer programming algorithm extends previous work on optimized qubit routing by swap insertion. We incorporate the measured crosstalk errors in addition to other, more easily accessible noise data in the objective function. Furthermore, we strengthen the underlying integer linear model by proving a convex hull result about an associated class of polytopes, which has applications beyond this work. We evaluate the proposed method by characterizing crosstalk noise for two chips with up to 127 qubits and leverage the resulting data to improve the approximation ratio of the Quantum Approximate Optimization Algorithm by up to 10 % compared to other established noise-aware routing methods. Our work clearly demonstrates the gains of including noise data when mapping abstract quantum circuits to hardware native ones.

math.OC↗

arXiv2024

Enhancing Quantum Algorithms for Quadratic Unconstrained Binary Optimization via Integer Programming

To date, research in quantum computation promises potential for outperforming classical heuristics in combinatorial optimization. However, when aiming at provable optimality, one has to rely on classical exact methods like integer programming. State-of-the-art integer programming algorithms can compute strong relaxation bounds even for hard instances, but may have to enumerate a large number of subproblems for determining an optimum solution. If the potential of quantum computing realizes, it can be expected that in particular finding high-quality solutions for hard problems can be done fast. Still, near-future quantum hardware considerably limits the size of treatable problems. In this work, we go one step into integrating the potentials of quantum and classical techniques for combinatorial optimization. We propose a hybrid heuristic for the weighted maximum-cut problem or, equivalently, for quadratic unconstrained binary optimization. The heuristic employs a linear programming relaxation, rendering it well-suited for integration into exact branch-and-cut algorithms. For large instances, we reduce the problem size according to a linear relaxation such that the reduced problem can be handled by quantum machines of limited size. Moreover, we improve the applicability of QAOA, a parameterized quantum algorithm, by deriving optimal parameters for special instances which motivates a parameter estimate for arbitrary instances. We present numerous computational results from real quantum hardware.

quant-ph↗

arXiv2024

Improving Quantum and Classical Decomposition Methods for Vehicle Routing

Quantum computing is a promising technology to address combinatorial optimization problems, for example via the quantum approximate optimization algorithm (QAOA). Its potential, however, hinges on scaling toy problems to sizes relevant for industry. In this study, we address this challenge by an elaborate combination of two decomposition methods, namely graph shrinking and circuit cutting. Graph shrinking reduces the problem size before encoding into QAOA circuits, while circuit cutting decomposes quantum circuits into fragments for execution on medium-scale quantum computers. Our shrinking method adaptively reduces the problem such that the resulting QAOA circuits are particularly well-suited for circuit cutting. Moreover, we integrate two cutting techniques which allows us to run the resulting circuit fragments sequentially on the same device. We demonstrate the utility of our method by successfully applying it to the archetypical traveling salesperson problem (TSP) which often occurs as a sub-problem in practically relevant vehicle routing applications. For a TSP with seven cities, we are able to retrieve an optimum solution by consecutively running two 7-qubit QAOA circuits. Without decomposition methods, we would require five times as many qubits. Our results offer insights into the performance of algorithms for combinatorial optimization problems within the constraints of current quantum technology.

quant-ph↗

arXiv2023

Improving Quantum Computation by Optimized Qubit Routing

In this work we propose a high-quality decomposition approach for qubit routing by swap insertion. This optimization problem arises in the context of compiling quantum algorithms onto specific quantum hardware. Our approach decomposes the routing problem into an allocation subproblem and a set of token swapping problems. This allows us to tackle the allocation part and the token swapping part separately. Extracting the allocation part from the qubit routing model of Nannicini et al. (arXiv:2106.06446), we formulate the allocation subproblem as a binary program. Herein, we employ a cost function that is a lower bound on the overall routing problem objective. We strengthen the linear relaxation by novel valid inequalities. For the token swapping part we develop an exact branch-and-bound algorithm. In this context, we improve upon known lower bounds on the token swapping problem. Furthermore, we enhance an existing approximation algorithm. We present numerical results for the integrated allocation and token swapping problem. Obtained solutions may not be globally optimal due to the decomposition and the usage of an approximation algorithm. However, the solutions are obtained fast and are typically close to optimal. In addition, there is a significant reduction in the number of gates and output circuit depth when compared to state-of-the-art heuristics. Reducing these figures is crucial for minimizing noise when running quantum algorithms on near-term hardware. As a consequence, using the novel decomposition approach leads to compiled algorithms with improved quality. Indeed, when compiled with the novel routing procedure and executed on real hardware, our experimental results for quantum approximate optimization algorithms show an significant increase in solution quality in comparison to standard routing methods.

quant-ph↗

arXiv2019

Multivariate Garch with dynamic beta

We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses only six free GARCH parameters. One factor can be interpreted as the market component, the remaining factors are equal. This allow the analytical calculation of the inverse covariance matrix. The time-dependence of the factors enables the determination of dynamical beta coefficients. We compare the results from our model with the results of other GARCH models for the daily returns from the S\&P500 market and find that they are competitive. As applications we use the daily values of beta coefficients to confirm a transition of the market in 2006. Furthermore we discuss the relationship of our model with the leverage effect.

q-fin.GN↗

arXiv2015

Phase Transition in the S&P Stock Market

We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order parameter which can be interpreted within an agent-based model. From 1995 to 2005 the market is in an ordered state and after 2005 in a disordered state.

q-fin.ST↗

arXiv2015

Transitions in the Stock Markets of the US, UK, and Germany

In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We show that an agent-based model can reproduce these changes. We further show that the initial impulse for the transition might stem from the increase of high frequency trading at that time.

q-fin.PM↗

arXiv2005

Application of Zhangs Square Root Law and Herding to Financial Markets

We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We show that this model is equivalent to the so called 3/2-model of stochastic volatility. The description of the unconditional distribution for the absolute returns is in good agreement with the DAX independent whether one uses the square root or a conventional linear relation. Only the statistic of extreme events prefers the former. The description of the autocorrelations are in much better agreement for the square root law. The volatility clusters are described by a scaling law for the distribution of returns conditional to the value at the previous day in good agreement with the data.

physics.soc-ph↗

arXiv2002

Volatility Cluster and Herding

Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the Lux-Marchesi model have been used. We show that a simple herding model with only four parameters leads to a quantitative description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be used successfully to distinguish between different models.

cond-mat.stat-mech↗

arXiv2001

Stability of money: Phase transitions in an Ising economy

The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from trading between agents. The basic trading scenario can be recast into an Ising type spin model and is studied on the hierarchical network structure of a Cayley tree. We solve this model analytically and observe a phase transition between a one state phase, always allowing for a stable money value, and a two state phase, where an unstable (inflationary) phase occurs. The onset of inflation is discontinuous and follows a first order phase transition. The stable phase provides a parameter region where money value is robust and can be stabilized without fine tuning.

cond-mat.stat-mech↗