arXiv subjects

Dylan Herman

Publications and source records attributed to Dylan Herman.

35 records · Page 2Linked to original sources

arXiv2024

Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing

Industrially relevant constrained optimization problems, such as portfolio optimization and portfolio rebalancing, are often intractable or difficult to solve exactly. In this work, we propose and benchmark a decomposition pipeline targeting portfolio optimization and rebalancing problems with constraints. The pipeline decomposes the optimization problem into constrained subproblems, which are then solved separately and aggregated to give a final result. Our pipeline includes three main components: preprocessing of correlation matrices based on random matrix theory, modified spectral clustering based on Newman's algorithm, and risk rebalancing. Our empirical results show that our pipeline consistently decomposes real-world portfolio optimization problems into subproblems with a size reduction of approximately 80%. Since subproblems are then solved independently, our pipeline drastically reduces the total computation time for state-of-the-art solvers. Moreover, by decomposing large problems into several smaller subproblems, the pipeline enables the use of near-term quantum devices as solvers, providing a path toward practical utility of quantum computers in portfolio optimization.

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arXiv2024

Parameter Setting Heuristics Make the Quantum Approximate Optimization Algorithm Suitable for the Early Fault-Tolerant Era

Quantum Approximate Optimization Algorithm (QAOA) is one of the most promising quantum heuristics for combinatorial optimization. While QAOA has been shown to perform well on small-scale instances and to provide an asymptotic speedup over state-of-the-art classical algorithms for some problems, fault-tolerance is understood to be required to realize this speedup in practice. The low resource requirements of QAOA make it particularly suitable to benchmark on early fault-tolerant quantum computing (EFTQC) hardware. However, the performance of QAOA depends crucially on the choice of the free parameters in the circuit. The task of setting these parameters is complicated in the EFTQC era by the large overheads, which preclude extensive classical optimization. In this paper, we summarize recent advances in parameter setting in QAOA and show that these advancements make EFTQC experiments with QAOA practically viable.

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arXiv2024

Solving Linear Systems on Quantum Hardware with Hybrid HHL++

The limited capabilities of current quantum hardware significantly constrain the scale of experimental demonstrations of most quantum algorithmic primitives. This makes it challenging to perform benchmarking of the current hardware using useful quantum algorithms, i.e., application-oriented benchmarking. In particular, the Harrow-Hassidim-Lloyd (HHL) algorithm is a critical quantum linear algebra primitive, but the majority of the components of HHL are far out of the reach of noisy intermediate-scale quantum devices, which has led to the proposal of hybrid classical-quantum variants. The goal of this work is to further bridge the gap between proposed near-term friendly implementations of HHL and the kinds of quantum circuits that can be executed on noisy hardware. Our proposal adds to the existing literature of hybrid quantum algorithms for linear algebra that are more compatible with the current scale of quantum devices. Specifically, we propose two modifications to the Hybrid HHL algorithm proposed by Lee etal. leading to our algorithm Hybrid HHL++: (1) propose a novel algorithm for determining a scaling factor for the linear system matrix that maximizes the utility of the amount of ancillary qubits allocated to the phase estimation component of HHL, and (2) introduce a heuristic for compressing the HHL circuit. We demonstrate the efficacy of our work by running our modified Hybrid HHL on Quantinuum System Model H-series trapped-ion quantum computers to solve different problem instances of small-scale portfolio optimization problems, leading to the largest experimental demonstrations of HHL for an application to date.

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arXiv2024

Evidence of Scaling Advantage for the Quantum Approximate Optimization Algorithm on a Classically Intractable Problem

The quantum approximate optimization algorithm (QAOA) is a leading candidate algorithm for solving optimization problems on quantum computers. However, the potential of QAOA to tackle classically intractable problems remains unclear. Here, we perform an extensive numerical investigation of QAOA on the low autocorrelation binary sequences (LABS) problem, which is classically intractable even for moderately sized instances. We perform noiseless simulations with up to 40 qubits and observe that the runtime of QAOA with fixed parameters scales better than branch-and-bound solvers, which are the state-of-the-art exact solvers for LABS. The combination of QAOA with quantum minimum finding gives the best empirical scaling of any algorithm for the LABS problem. We demonstrate experimental progress in executing QAOA for the LABS problem using an algorithm-specific error detection scheme on Quantinuum trapped-ion processors. Our results provide evidence for the utility of QAOA as an algorithmic component that enables quantum speedups.

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arXiv2024

Prospects of Privacy Advantage in Quantum Machine Learning

Ensuring data privacy in machine learning models is critical, particularly in distributed settings where model gradients are typically shared among multiple parties to allow collaborative learning. Motivated by the increasing success of recovering input data from the gradients of classical models, this study addresses a central question: How hard is it to recover the input data from the gradients of quantum machine learning models? Focusing on variational quantum circuits (VQC) as learning models, we uncover the crucial role played by the dynamical Lie algebra (DLA) of the VQC ansatz in determining privacy vulnerabilities. While the DLA has previously been linked to the classical simulatability and trainability of VQC models, this work, for the first time, establishes its connection to the privacy of VQC models. In particular, we show that properties conducive to the trainability of VQCs, such as a polynomial-sized DLA, also facilitate the extraction of detailed snapshots of the input. We term this a weak privacy breach, as the snapshots enable training VQC models for distinct learning tasks without direct access to the original input. Further, we investigate the conditions for a strong privacy breach where the original input data can be recovered from these snapshots by classical or quantum-assisted polynomial time methods. We establish conditions on the encoding map such as classical simulatability, overlap with DLA basis, and its Fourier frequency characteristics that enable such a privacy breach of VQC models. Our findings thus play a crucial role in detailing the prospects of quantum privacy advantage by guiding the requirements for designing quantum machine learning models that balance trainability with robust privacy protection.

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arXiv2024

The Adjoint Is All You Need: Characterizing Barren Plateaus in Quantum Ansätze

Using tools from the representation theory of compact Lie groups, we formulate a theory of Barren Plateaus (BPs) for parameterized quantum circuits whose observables lie in their dynamical Lie algebra (DLA), a setting that we term Lie algebra Supported Ansatz (LASA). A large variety of commonly used ansätze such as the Hamiltonian Variational Ansatz, Quantum Alternating Operator Ansatz, and many equivariant quantum neural networks are LASAs. In particular, our theory provides, for the first time, the ability to compute the variance of the gradient of the cost function of the quantum compound ansatz. We rigorously prove that, for LASA, the variance of the gradient of the cost function, for a 2-design of the dynamical Lie group, scales inversely with the dimension of the DLA, which agrees with existing numerical observations. In addition, to motivate the applicability of our results for 2-designs to practical settings, we show that rapid mixing occurs for LASAs with polynomial DLA. Lastly, we include potential extensions for handling cases when the observable lies outside of the DLA and the implications of our results.

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arXiv2024

Quantum option pricing via the Karhunen-Loève expansion

We consider the problem of pricing discretely monitored Asian options over $T$ monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide two quantum algorithms with complexity poly-logarithmic in $T$ and polynomial in $1/ε$, where $ε$ is the additive approximation error. Our algorithms are obtained respectively by using an $O(\log T)$-qubit semi-digital quantum encoding of the Brownian motion that allows for exponentiation of the stochastic process and by analyzing classical Monte Carlo algorithms inspired by the semi-digital encodings. The best quantum algorithm obtained using this approach has complexity $\widetilde{O}(1/ε^{3})$ where the $\widetilde{O}$ suppresses factors poly-logarithmic in $T$ and $1/ε$. The methods proposed in this work generalize to pricing options where the underlying asset price is modeled by a smooth function of a sub-Gaussian process and the payoff is dependent on the weighted time-average of the underlying asset price.

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arXiv2024

Parameter Setting in Quantum Approximate Optimization of Weighted Problems

Quantum Approximate Optimization Algorithm (QAOA) is a leading candidate algorithm for solving combinatorial optimization problems on quantum computers. However, in many cases QAOA requires computationally intensive parameter optimization. The challenge of parameter optimization is particularly acute in the case of weighted problems, for which the eigenvalues of the phase operator are non-integer and the QAOA energy landscape is not periodic. In this work, we develop parameter setting heuristics for QAOA applied to a general class of weighted problems. First, we derive optimal parameters for QAOA with depth $p=1$ applied to the weighted MaxCut problem under different assumptions on the weights. In particular, we rigorously prove the conventional wisdom that in the average case the first local optimum near zero gives globally-optimal QAOA parameters. Second, for $p\geq 1$ we prove that the QAOA energy landscape for weighted MaxCut approaches that for the unweighted case under a simple rescaling of parameters. Therefore, we can use parameters previously obtained for unweighted MaxCut for weighted problems. Finally, we prove that for $p=1$ the QAOA objective sharply concentrates around its expectation, which means that our parameter setting rules hold with high probability for a random weighted instance. We numerically validate this approach on general weighted graphs and show that on average the QAOA energy with the proposed fixed parameters is only $1.1$ percentage points away from that with optimized parameters. Third, we propose a general heuristic rescaling scheme inspired by the analytical results for weighted MaxCut and demonstrate its effectiveness using QAOA with the XY Hamming-weight-preserving mixer applied to the portfolio optimization problem. Our heuristic improves the convergence of local optimizers, reducing the number of iterations by 7.4x on average.

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arXiv2024

Hardness of the Maximum Independent Set Problem on Unit-Disk Graphs and Prospects for Quantum Speedups

Rydberg atom arrays are among the leading contenders for the demonstration of quantum speedups. Motivated by recent experiments with up to 289 qubits [Ebadi et al., Science 376, 1209 (2022)] we study the maximum independent set problem on unit-disk graphs with a broader range of classical solvers beyond the scope of the original paper. We carry out extensive numerical studies and assess problem hardness, using both exact and heuristic algorithms. We find that quasi-planar instances with Union-Jack-like connectivity can be solved to optimality for up to thousands of nodes within minutes, with both custom and generic commercial solvers on commodity hardware, without any instance-specific fine-tuning. We also perform a scaling analysis, showing that by relaxing the constraints on the classical simulated annealing algorithms considered in Ebadi et al., our implementation is competitive with the quantum algorithms. Conversely, instances with larger connectivity or less structure are shown to display a time-to-solution potentially orders of magnitudes larger. Based on these results we propose protocols to systematically tune problem hardness, motivating experiments with Rydberg atom arrays on instances orders of magnitude harder (for established classical solvers) than previously studied.

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arXiv2024

Alignment between Initial State and Mixer Improves QAOA Performance for Constrained Optimization

Quantum alternating operator ansatz (QAOA) has a strong connection to the adiabatic algorithm, which it can approximate with sufficient depth. However, it is unclear to what extent the lessons from the adiabatic regime apply to QAOA as executed in practice with small to moderate depth. In this paper, we demonstrate that the intuition from the adiabatic algorithm applies to the task of choosing the QAOA initial state. Specifically, we observe that the best performance is obtained when the initial state of QAOA is set to be the ground state of the mixing Hamiltonian, as required by the adiabatic algorithm. We provide numerical evidence using the examples of constrained portfolio optimization problems with both low ($p\leq 3$) and high ($p = 100$) QAOA depth. Additionally, we successfully apply QAOA with XY mixer to portfolio optimization on a trapped-ion quantum processor using 32 qubits and discuss our findings in near-term experiments.

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arXiv2023

Quantum Deep Hedging

Quantum machine learning has the potential for a transformative impact across industry sectors and in particular in finance. In our work we look at the problem of hedging where deep reinforcement learning offers a powerful framework for real markets. We develop quantum reinforcement learning methods based on policy-search and distributional actor-critic algorithms that use quantum neural network architectures with orthogonal and compound layers for the policy and value functions. We prove that the quantum neural networks we use are trainable, and we perform extensive simulations that show that quantum models can reduce the number of trainable parameters while achieving comparable performance and that the distributional approach obtains better performance than other standard approaches, both classical and quantum. We successfully implement the proposed models on a trapped-ion quantum processor, utilizing circuits with up to $16$ qubits, and observe performance that agrees well with noiseless simulation. Our quantum techniques are general and can be applied to other reinforcement learning problems beyond hedging.

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arXiv2023

Constrained Optimization via Quantum Zeno Dynamics

Constrained optimization problems are ubiquitous in science and industry. Quantum algorithms have shown promise in solving optimization problems, yet none of the current algorithms can effectively handle arbitrary constraints. We introduce a technique that uses quantum Zeno dynamics to solve optimization problems with multiple arbitrary constraints, including inequalities. We show that the dynamics of quantum optimization can be efficiently restricted to the in-constraint subspace on a fault-tolerant quantum computer via repeated projective measurements, requiring only a small number of auxiliary qubits and no post-selection. Our technique has broad applicability, which we demonstrate by incorporating it into the quantum approximate optimization algorithm (QAOA) and variational quantum circuits for optimization. We evaluate our method numerically on portfolio optimization problems with multiple realistic constraints and observe better solution quality and higher in-constraint probability than state-of-the-art techniques. We implement a proof-of-concept demonstration of our method on the Quantinuum H1-2 quantum processor.

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arXiv2023

Quantum computing for finance

Quantum computers are expected to surpass the computational capabilities of classical computers and have a transformative impact on numerous industry sectors. We present a comprehensive summary of the state of the art of quantum computing for financial applications, with particular emphasis on stochastic modeling, optimization, and machine learning. This Review is aimed at physicists, so it outlines the classical techniques used by the financial industry and discusses the potential advantages and limitations of quantum techniques. Finally, we look at the challenges that physicists could help tackle.

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arXiv2023

Expressivity of Variational Quantum Machine Learning on the Boolean Cube

Categorical data plays an important part in machine learning research and appears in a variety of applications. Models that can express large classes of real-valued functions on the Boolean cube are useful for problems involving discrete-valued data types, including those which are not Boolean. To this date, the commonly used schemes for embedding classical data into variational quantum machine learning models encode continuous values. Here we investigate quantum embeddings for encoding Boolean-valued data into parameterized quantum circuits used for machine learning tasks. We narrow down representability conditions for functions on the $n$-dimensional Boolean cube with respect to previously known results, using two quantum embeddings: a phase embedding and an embedding based on quantum random access codes. We show that for any real-valued function on the $n$-dimensional Boolean cube, there exists a variational linear quantum model based on a phase embedding using $n$ qubits that can represent it and an ensemble of such models using $d < n$ qubits that can express any function with degree at most $d$. Additionally, we prove that variational linear quantum models that use the quantum random access code embedding can express functions on the Boolean cube with degree $ d\leq \lceil\frac{n}{3}\rceil$ using $\lceil\frac{n}{3}\rceil$ qubits, and that an ensemble of such models can represent any function on the Boolean cube with degree $ d\leq \lceil\frac{n}{3}\rceil$. Furthermore, we discuss the potential benefits of each embedding and the impact of serial repetitions. Lastly, we demonstrate the use of the embeddings presented by performing numerical simulations and experiments on IBM quantum processors using the Qiskit machine learning framework.

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arXiv2022

Constrained Quantum Optimization for Extractive Summarization on a Trapped-ion Quantum Computer

Realizing the potential of near-term quantum computers to solve industry-relevant constrained-optimization problems is a promising path to quantum advantage. In this work, we consider the extractive summarization constrained-optimization problem and demonstrate the largest-to-date execution of a quantum optimization algorithm that natively preserves constraints on quantum hardware. We report results with the Quantum Alternating Operator Ansatz algorithm with a Hamming-weight-preserving XY mixer (XY-QAOA) on trapped-ion quantum computer. We successfully execute XY-QAOA circuits that restrict the quantum evolution to the in-constraint subspace, using up to 20 qubits and a two-qubit gate depth of up to 159. We demonstrate the necessity of directly encoding the constraints into the quantum circuit by showing the trade-off between the in-constraint probability and the quality of the solution that is implicit if unconstrained quantum optimization methods are used. We show that this trade-off makes choosing good parameters difficult in general. We compare XY-QAOA to the Layer Variational Quantum Eigensolver algorithm, which has a highly expressive constant-depth circuit, and the Quantum Approximate Optimization Algorithm. We discuss the respective trade-offs of the algorithms and implications for their execution on near-term quantum hardware.

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arXiv2022

A Survey of Quantum Computing for Finance

Quantum computers are expected to surpass the computational capabilities of classical computers during this decade and have transformative impact on numerous industry sectors, particularly finance. In fact, finance is estimated to be the first industry sector to benefit from quantum computing, not only in the medium and long terms, but even in the short term. This survey paper presents a comprehensive summary of the state of the art of quantum computing for financial applications, with particular emphasis on stochastic modeling, optimization, and machine learning, describing how these solutions, adapted to work on a quantum computer, can potentially help to solve financial problems, such as derivative pricing, risk modeling, portfolio optimization, natural language processing, and fraud detection, more efficiently and accurately. We also discuss the feasibility of these algorithms on near-term quantum computers with various hardware implementations and demonstrate how they relate to a wide range of use cases in finance. We hope this article will not only serve as a reference for academic researchers and industry practitioners but also inspire new ideas for future research.

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arXiv2021

Quantum Machine Learning for Finance

Quantum computers are expected to surpass the computational capabilities of classical computers during this decade, and achieve disruptive impact on numerous industry sectors, particularly finance. In fact, finance is estimated to be the first industry sector to benefit from Quantum Computing not only in the medium and long terms, but even in the short term. This review paper presents the state of the art of quantum algorithms for financial applications, with particular focus to those use cases that can be solved via Machine Learning.

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