Related papers: Quantum algorithm for solving McKean-Vlasov stocha…
This paper applies several well-known tricks from the numerical treatment of deterministic differential equations to improve the efficiency of the Multilevel Monte Carlo (MLMC) method for stochastic differential equations (SDEs) and…
The deployment of deep neural networks in safety-critical systems necessitates reliable and efficient uncertainty quantification (UQ). A practical and widespread strategy for UQ is repurposing stochastic regularizers as scalable approximate…
Stochastic differential equations (SDEs) or diffusions are continuous-valued continuous-time stochastic processes widely used in the applied and mathematical sciences. Simulating paths from these processes is usually an intractable problem,…
Quantum computers are known for their potential to achieve up-to-exponential speedup compared to classical computers for certain problems. To exploit the advantages of quantum computers, we propose quantum algorithms for linear stochastic…
A compression algorithm is introduced for multi-determinant wave functions which can greatly reduce the number of determinants that need to be evaluated in quantum Monte Carlo calculations. We have devised an algorithm with three levels of…
Quantum amplitude amplification and estimation have shown quadratic speedups to unstructured search and estimation tasks. We show that a coherent combination of these quantum algorithms also provides a quadratic speedup to calculating the…
We study the estimation of repeatedly nested expectations (RNEs) with a constant horizon (number of nestings) using quantum computing. We propose a quantum algorithm that achieves $\varepsilon$-error with cost $\tilde O(\varepsilon^{-1})$,…
Non-Markovian dynamics is ubiquitous in both quantum and classical systems, but the numerical computation of the time-delay dynamics is demanding. In this work, we propose an efficient quantum algorithm for solving linear distributed delay…
This paper introduces a class of Monte Carlo algorithms which are based upon the simulation of a Markov process whose quasi-stationary distribution coincides with a distribution of interest. This differs fundamentally from, say, current…
We propose a novel projection-based particle method for solving the McKean-Vlasov stochastic differential equations. Our approach is based on a projection-type estimation of the marginal density of the solution in each time step. The…
We present a unified theory of the variational Monte Carlo (VMC) and determinant quantum Monte Carlo (DQMC) methods using a novel density matrix formulation of VMC. We introduce an efficient algorithm for VMC to compute correlation…
A semidefinite program (SDP) is a particular kind of convex optimization problem with applications in operations research, combinatorial optimization, quantum information science, and beyond. In this work, we propose variational quantum…
Optimization problems are prevalent in various fields, and the gradient-based gradient descent algorithm is a widely adopted optimization method. However, in classical computing, computing the numerical gradient for a function with $d$…
Quantum Monte Carlo (QMC) techniques are widely used in a variety of scientific problems and much work has been dedicated to developing optimized algorithms that can accelerate QMC on standard processors (CPU). With the advent of various…
QubitSolve is working on a quantum solution for computational fluid dynamics (CFD). We have created a variational quantum CFD (VQCFD) algorithm and a 2D Software Prototype based on it. By testing the Software Prototype on a quantum…
In recent work of Hairer, Hutzenthaler and Jentzen, see [9], a stochastic differential equation (SDE) with infinitely often differentiable and bounded coefficients was constructed such that the Monte Carlo Euler method for approximation of…
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…
By using the heat kernel parameter expansion with respect to the frozen SDEs, the intrinsic derivative is estimated for the law of Mckean-Vlasov SDEs with respect to the initial distribution. As an application, the total variation distance…
In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a stochastic algorithmic differentiation and a regression. The…
We survey old and new results about optimal algorithms for summation of finite sequences and for integration of functions from Hoelder or Sobolev spaces. First we discuss optimal deterministic and randomized algorithms. Then we add a new…