Quantum-Enhanced Simulation-Based Optimization
Julien Gacon, Christa Zoufal, et al.
QCE 2020
We present and analyze a quantum algorithm to estimate credit risk more efficiently than Monte Carlo simulations can do on classical computers. More precisely, we estimate the economic capital requirement, i.e. the difference between the Value at Risk and the expected value of a given loss distribution. The economic capital requirement is an important risk metric because it summarizes the amount of capital required to remain solvent at a given confidence level. We implement this problem for a realistic loss distribution and analyze its scaling to a realistic problem size. In particular, we provide estimates of the total number of required qubits, the expected circuit depth, and how this translates into an expected runtime under reasonable assumptions on future fault-tolerant quantum hardware.
Julien Gacon, Christa Zoufal, et al.
QCE 2020
Pin-Yu Chen, Alkiviadis Mertzios, et al.
INFORMS 2023
Chulin Xie, Keli Huang, et al.
ICLR 2020
Stefan H. Sack, Daniel J. Egger
PRResearch