arXiv subjects

Stefan Woerner

Publications and source records attributed to Stefan Woerner.

At least 37 records · Page 2Linked to original sources

arXiv2024

Quantum Risk Analysis of Financial Derivatives

We introduce two quantum algorithms to compute the Value at Risk (VaR) and Conditional Value at Risk (CVaR) of financial derivatives using quantum computers: the first by applying existing ideas from quantum risk analysis to derivative pricing, and the second based on a novel approach using Quantum Signal Processing (QSP). Previous work in the literature has shown that quantum advantage is possible in the context of individual derivative pricing and that advantage can be leveraged in a straightforward manner in the estimation of the VaR and CVaR. The algorithms we introduce in this work aim to provide an additional advantage by encoding the derivative price over multiple market scenarios in superposition and computing the desired values by applying appropriate transformations to the quantum system. We perform complexity and error analysis of both algorithms, and show that while the two algorithms have the same asymptotic scaling the QSP-based approach requires significantly fewer quantum resources for the same target accuracy. Additionally, by numerically simulating both quantum and classical VaR algorithms, we demonstrate that the quantum algorithm can extract additional advantage from a quantum computer compared to individual derivative pricing. Specifically, we show that under certain conditions VaR estimation can lower the latest published estimates of the logical clock rate required for quantum advantage in derivative pricing by up to $\sim 30$x. In light of these results, we are encouraged that our formulation of derivative pricing in the QSP framework may be further leveraged for quantum advantage in other relevant financial applications, and that quantum computers could be harnessed more efficiently by considering problems in the financial sector at a higher level.

quant-ph↗

arXiv2024

The complexity of quantum support vector machines

Quantum support vector machines employ quantum circuits to define the kernel function. It has been shown that this approach offers a provable exponential speedup compared to any known classical algorithm for certain data sets. The training of such models corresponds to solving a convex optimization problem either via its primal or dual formulation. Due to the probabilistic nature of quantum mechanics, the training algorithms are affected by statistical uncertainty, which has a major impact on their complexity. We show that the dual problem can be solved in $O(M^{4.67}/\varepsilon^2)$ quantum circuit evaluations, where $M$ denotes the size of the data set and $\varepsilon$ the solution accuracy compared to the ideal result from exact expectation values, which is only obtainable in theory. We prove under an empirically motivated assumption that the kernelized primal problem can alternatively be solved in $O(\min \{ M^2/\varepsilon^6, \, 1/\varepsilon^{10} \})$ evaluations by employing a generalization of a known classical algorithm called Pegasos. Accompanying empirical results demonstrate these analytical complexities to be essentially tight. In addition, we investigate a variational approximation to quantum support vector machines and show that their heuristic training achieves considerably better scaling in our experiments.

quant-ph↗

arXiv2023

Provable bounds for noise-free expectation values computed from noisy samples

In this paper, we explore the impact of noise on quantum computing, particularly focusing on the challenges when sampling bit strings from noisy quantum computers as well as the implications for optimization and machine learning applications. We formally quantify the sampling overhead to extract good samples from noisy quantum computers and relate it to the layer fidelity, a metric to determine the performance of noisy quantum processors. Further, we show how this allows us to use the Conditional Value at Risk of noisy samples to determine provable bounds on noise-free expectation values. We discuss how to leverage these bounds for different algorithms and demonstrate our findings through experiments on a real quantum computer involving up to 127 qubits. The results show a strong alignment with theoretical predictions.

quant-ph↗

arXiv2023

Variational Quantum Time Evolution without the Quantum Geometric Tensor

The real- and imaginary-time evolution of quantum states are powerful tools in physics, chemistry, and beyond, to investigate quantum dynamics, prepare ground states or calculate thermodynamic observables. On near-term devices, variational quantum time evolution is a promising candidate for these tasks, as the required circuit model can be tailored to trade off available device capabilities and approximation accuracy. However, even if the circuits can be reliably executed, variational quantum time evolution algorithms quickly become infeasible for relevant system sizes due to the calculation of the Quantum Geometric Tensor (QGT). In this work, we propose a solution to this scaling problem by leveraging a dual formulation that circumvents the explicit evaluation of the QGT. We demonstrate our algorithm for the time evolution of the Heisenberg Hamiltonian and show that it accurately reproduces the system dynamics at a fraction of the cost of standard variational quantum time evolution algorithms. As an application of quantum imaginary-time evolution, we calculate a thermodynamic observable, the energy per site, of the Heisenberg model.

quant-ph↗

arXiv2023

Towards quantum-enabled cell-centric therapeutics

In recent years, there has been tremendous progress in the development of quantum computing hardware, algorithms and services leading to the expectation that in the near future quantum computers will be capable of performing simulations for natural science applications, operations research, and machine learning at scales mostly inaccessible to classical computers. Whereas the impact of quantum computing has already started to be recognized in fields such as cryptanalysis, natural science simulations, and optimization among others, very little is known about the full potential of quantum computing simulations and machine learning in the realm of healthcare and life science (HCLS). Herein, we discuss the transformational changes we expect from the use of quantum computation for HCLS research, more specifically in the field of cell-centric therapeutics. Moreover, we identify and elaborate open problems in cell engineering, tissue modeling, perturbation modeling, and bio-topology while discussing candidate quantum algorithms for research on these topics and their potential advantages over classical computational approaches.

quant-ph↗

arXiv2023

Well-conditioned multi-product formulas for hardware-friendly Hamiltonian simulation

Simulating the time-evolution of a Hamiltonian is one of the most promising applications of quantum computers. Multi-Product Formulas (MPFs) are well suited to replace standard product formulas since they scale better with respect to time and approximation errors. Hamiltonian simulation with MPFs was first proposed in a fully quantum setting using a linear combination of unitaries. Here, we analyze and demonstrate a hybrid quantum-classical approach to MPFs that classically combines expectation values evaluated with a quantum computer. This has the same approximation bounds as the fully quantum MPFs, but, in contrast, requires no additional qubits, no controlled operations, and is not probabilistic. We show how to design MPFs that do not amplify the hardware and sampling errors, and demonstrate their performance. In particular, we illustrate the potential of our work by theoretically analyzing the benefits when applied to a classically intractable spin-boson model, and by computing the dynamics of the transverse field Ising model using a classical simulator as well as quantum hardware. We observe an error reduction of up to an order of magnitude when compared to a product formula approach by suppressing hardware noise with Pauli Twirling, pulse efficient transpilation, and a novel zero-noise extrapolation based on scaled cross-resonance pulses. The MPF methodology reduces the circuit depth and may therefore represent an important step towards quantum advantage for Hamiltonian simulation on noisy hardware.

quant-ph↗

arXiv2023

Error Bounds for Variational Quantum Time Evolution

Variational quantum time evolution allows us to simulate the time dynamics of quantum systems with near-term compatible quantum circuits. Due to the variational nature of this method the accuracy of the simulation is a priori unknown. We derive global phase agnostic error bounds for the state simulation accuracy with variational quantum time evolution that improve the tightness of fidelity estimates over existing error bounds. These analysis tools are practically crucial for assessing the quality of the simulation and making informed choices about simulation hyper-parameters. The efficient, a posteriori evaluation of the bounds can be tightly integrated with the variational time simulation and, hence, results in a minor resource overhead which is governed by the system's energy variance. The performance of the novel error bounds is demonstrated on numerical examples.

quant-ph↗

arXiv2023

Stochastic Approximation of Variational Quantum Imaginary Time Evolution

The imaginary-time evolution of quantum states is integral to various fields, ranging from natural sciences to classical optimization or machine learning. Since simulating quantum imaginary-time evolution generally requires storing an exponentially large wave function, quantum computers are emerging as a promising platform for this task. However, variational approaches, suitable for near-term quantum computers, struggle with a prohibitive number of measurements and impractical runtimes for relevant system sizes. Here, we suggest a stochastic approach to variational quantum imaginary-time evolution, which allows a significant reduction in runtimes. Our approach allows trading off invested resources and accuracy, which makes it also suitable for ground state preparation, where simulating the exact dynamics is not required. We demonstrate the efficiency of our algorithm in simulations and show a hardware experiment performing the imaginary-time evolution of the transverse field Ising model on 27 qubits.

quant-ph↗

arXiv2023

Quantum Kernel Alignment with Stochastic Gradient Descent

Quantum support vector machines have the potential to achieve a quantum speedup for solving certain machine learning problems. The key challenge for doing so is finding good quantum kernels for a given data set -- a task called kernel alignment. In this paper we study this problem using the Pegasos algorithm, which is an algorithm that uses stochastic gradient descent to solve the support vector machine optimization problem. We extend Pegasos to the quantum case and and demonstrate its effectiveness for kernel alignment. Unlike previous work which performs kernel alignment by training a QSVM within an outer optimization loop, we show that using Pegasos it is possible to simultaneously train the support vector machine and align the kernel. Our experiments show that this approach is capable of aligning quantum feature maps with high accuracy, and outperforms existing quantum kernel alignment techniques. Specifically, we demonstrate that Pegasos is particularly effective for non-stationary data, which is an important challenge in real-world applications.

quant-ph↗

arXiv2023

Variational quantum algorithm for unconstrained black box binary optimization: Application to feature selection

We introduce a variational quantum algorithm to solve unconstrained black box binary optimization problems, i.e., problems in which the objective function is given as black box. This is in contrast to the typical setting of quantum algorithms for optimization where a classical objective function is provided as a given Quadratic Unconstrained Binary Optimization problem and mapped to a sum of Pauli operators. Furthermore, we provide theoretical justification for our method based on convergence guarantees of quantum imaginary time evolution. To investigate the performance of our algorithm and its potential advantages, we tackle a challenging real-world optimization problem: feature selection. This refers to the problem of selecting a subset of relevant features to use for constructing a predictive model such as fraud detection. Optimal feature selection -- when formulated in terms of a generic loss function -- offers little structure on which to build classical heuristics, thus resulting primarily in 'greedy methods'. This leaves room for (near-term) quantum algorithms to be competitive to classical state-of-the-art approaches. We apply our quantum-optimization-based feature selection algorithm, termed VarQFS, to build a predictive model for a credit risk data set with 20 and 59 input features (qubits) and train the model using quantum hardware and tensor-network-based numerical simulations, respectively. We show that the quantum method produces competitive and in certain aspects even better performance compared to traditional feature selection techniques used in today's industry.

quant-ph↗

arXiv2022

Scaling of the quantum approximate optimization algorithm on superconducting qubit based hardware

Quantum computers may provide good solutions to combinatorial optimization problems by leveraging the Quantum Approximate Optimization Algorithm (QAOA). The QAOA is often presented as an algorithm for noisy hardware. However, hardware constraints limit its applicability to problem instances that closely match the connectivity of the qubits. Furthermore, the QAOA must outpace classical solvers. Here, we investigate swap strategies to map dense problems into linear, grid and heavy-hex coupling maps. A line-based swap strategy works best for linear and two-dimensional grid coupling maps. Heavy-hex coupling maps require an adaptation of the line swap strategy. By contrast, three-dimensional grid coupling maps benefit from a different swap strategy. Using known entropic arguments we find that the required gate fidelity for dense problems lies deep below the fault-tolerant threshold. We also provide a methodology to reason about the execution-time of QAOA. Finally, we present a QAOA Qiskit Runtime program and execute the closed-loop optimization on cloud-based quantum computers with transpiler settings optimized for QAOA. This work highlights some obstacles to improve to make QAOA competitive, such as gate fidelity, gate speed, and the large number of shots needed. The Qiskit Runtime program gives us a tool to investigate such issues at scale on noisy superconducting qubit hardware.

quant-ph↗

arXiv2022

Towards Quantum Advantage in Financial Market Risk using Quantum Gradient Algorithms

We introduce a quantum algorithm to compute the market risk of financial derivatives. Previous work has shown that quantum amplitude estimation can accelerate derivative pricing quadratically in the target error and we extend this to a quadratic error scaling advantage in market risk computation. We show that employing quantum gradient estimation algorithms can deliver a further quadratic advantage in the number of the associated market sensitivities, usually called greeks. By numerically simulating the quantum gradient estimation algorithms on financial derivatives of practical interest, we demonstrate that not only can we successfully estimate the greeks in the examples studied, but that the resource requirements can be significantly lower in practice than what is expected by theoretical complexity bounds. This additional advantage in the computation of financial market risk lowers the estimated logical clock rate required for financial quantum advantage from Chakrabarti et al. [Quantum 5, 463 (2021)] by a factor of ~7, from 50MHz to 7MHz, even for a modest number of greeks by industry standards (four). Moreover, we show that if we have access to enough resources, the quantum algorithm can be parallelized across 60 QPUs, in which case the logical clock rate of each device required to achieve the same overall runtime as the serial execution would be ~100kHz. Throughout this work, we summarize and compare several different combinations of quantum and classical approaches that could be used for computing the market risk of financial derivatives.

quant-ph↗

arXiv2022

A variational quantum algorithm for the Feynman-Kac formula

We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the correspondence between the Feynman-Kac partial differential equation (PDE) and the Wick-rotated Schrödinger equation for this purpose. The results for a $(2+1)$ dimensional Feynman-Kac system obtained through the variational quantum algorithm are then compared against classical ODE solvers and Monte Carlo simulation. We see a remarkable agreement between the classical methods and the quantum variational method for an illustrative example on six and eight qubits. In the non-trivial case of PDEs which are preserving probability distributions -- rather than preserving the $\ell_2$-norm -- we introduce a proxy norm which is efficient in keeping the solution approximately normalized throughout the evolution. The algorithmic complexity and costs associated to this methodology, in particular for the extraction of properties of the solution, are investigated. Future research topics in the areas of quantitative finance and other types of PDEs are also discussed.

quant-ph↗

arXiv2021

Effective dimension of machine learning models

Making statements about the performance of trained models on tasks involving new data is one of the primary goals of machine learning, i.e., to understand the generalization power of a model. Various capacity measures try to capture this ability, but usually fall short in explaining important characteristics of models that we observe in practice. In this study, we propose the local effective dimension as a capacity measure which seems to correlate well with generalization error on standard data sets. Importantly, we prove that the local effective dimension bounds the generalization error and discuss the aptness of this capacity measure for machine learning models.

cs.LG↗

arXiv2021

Quasiprobability decompositions with reduced sampling overhead

Quantum error mitigation techniques can reduce noise on current quantum hardware without the need for fault-tolerant quantum error correction. For instance, the quasiprobability method simulates a noise-free quantum computer using a noisy one, with the caveat of only producing the correct expected values of observables. The cost of this error mitigation technique manifests as a sampling overhead which scales exponentially in the number of corrected gates. In this work, we present a new algorithm based on mathematical optimization that aims to choose the quasiprobability decomposition in a noise-aware manner. This directly leads to a significantly lower basis of the sampling overhead compared to existing approaches. A key element of the novel algorithm is a robust quasiprobability method that allows for a tradeoff between an approximation error and the sampling overhead via semidefinite programming.

quant-ph↗

arXiv2021

Simultaneous Perturbation Stochastic Approximation of the Quantum Fisher Information

The Quantum Fisher Information matrix (QFIM) is a central metric in promising algorithms, such as Quantum Natural Gradient Descent and Variational Quantum Imaginary Time Evolution. Computing the full QFIM for a model with $d$ parameters, however, is computationally expensive and generally requires $\mathcal{O}(d^2)$ function evaluations. To remedy these increasing costs in high-dimensional parameter spaces, we propose using simultaneous perturbation stochastic approximation techniques to approximate the QFIM at a constant cost. We present the resulting algorithm and successfully apply it to prepare Hamiltonian ground states and train Variational Quantum Boltzmann Machines.

quant-ph↗

arXiv2021

Application of Quantum Machine Learning using the Quantum Kernel Algorithm on High Energy Physics Analysis at the LHC

Quantum machine learning could possibly become a valuable alternative to classical machine learning for applications in High Energy Physics by offering computational speed-ups. In this study, we employ a support vector machine with a quantum kernel estimator (QSVM-Kernel method) to a recent LHC flagship physics analysis: $t\bar{t}H$ (Higgs boson production in association with a top quark pair). In our quantum simulation study using up to 20 qubits and up to 50000 events, the QSVM-Kernel method performs as well as its classical counterparts in three different platforms from Google Tensorflow Quantum, IBM Quantum and Amazon Braket. Additionally, using 15 qubits and 100 events, the application of the QSVM-Kernel method on the IBM superconducting quantum hardware approaches the performance of a noiseless quantum simulator. Our study confirms that the QSVM-Kernel method can use the large dimensionality of the quantum Hilbert space to replace the classical feature space in realistic physics datasets.

quant-ph↗

arXiv2021

Enhancing the Quantum Linear Systems Algorithm using Richardson Extrapolation

We present a quantum algorithm to solve systems of linear equations of the form $A\mathbf{x}=\mathbf{b}$, where $A$ is a tridiagonal Toeplitz matrix and $\mathbf{b}$ results from discretizing an analytic function, with a circuit complexity of $poly(\log(κ), 1/\sqrtε, \log(N))$, where $N$ denotes the number of equations, $ε$ is the accuracy, and $κ$ the condition number. The \emph{repeat-until-success} algorithm has to be run $\mathcal{O}\left(κ/(1-ε)\right)$ times to succeed, leveraging amplitude amplification, and sampled $\mathcal{O}(1/ε^2)$ times. Thus, the algorithm achieves an exponential improvement with respect to $N$ over classical methods. In particular, we present efficient oracles for state preparation, Hamiltonian simulation and a set of observables together with the corresponding error and complexity analyses. As the main result of this work, we show how to use Richardson extrapolation to enhance Hamiltonian simulation, resulting in an implementation of Quantum Phase Estimation (QPE) within the algorithm with $1/\sqrtε$ circuit complexity instead of $1/ε$ and which can be parallelized. Furthermore, we analyze necessary conditions for the overall algorithm to achieve an exponential speedup compared to classical methods. Our approach is not limited to the considered setting and can be applied to more general problems where Hamiltonian simulation is approximated via product formulae, although, our theoretical results would need to be extended accordingly. All the procedures presented are implemented with Qiskit and tested for small systems using classical simulation as well as using real quantum devices available through the IBM Quantum Experience.

quant-ph↗