Pub Date : 2023-11-28DOI: 10.1109/TQE.2023.3337328
Ginés Carrascal;Paula Hernamperez;Guillermo Botella;Alberto del Barrio
In portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets. By backtesting classical and quantum computing algorithms, we can get a sense of how these algorithms might perform in the real world. This work establishes a methodology for backtesting classical and quantum algorithms in equivalent conditions, and uses it to explore four quantum and three classical computing algorithms for portfolio optimization and compares the results. Running 10 000 experiments on equivalent conditions we find that quantum can match or slightly outperform classical results, showing a better escalability trend. To the best of our knowledge, this is the first work that performs a systematic backtesting comparison of classical and quantum portfolio optimization algorithms. In this work, we also analyze in more detail the variational quantum eigensolver algorithm, applied to solve the portfolio optimization problem, running on simulators and real quantum computers from IBM. The benefits and drawbacks of backtesting are discussed, as well as some of the challenges involved in using real quantum computers of more than 100 qubits. Results show quantum algorithms can be competitive with classical ones, with the advantage of being able to handle a large number of assets in a reasonable time on a future larger quantum computer.
{"title":"Backtesting Quantum Computing Algorithms for Portfolio Optimization","authors":"Ginés Carrascal;Paula Hernamperez;Guillermo Botella;Alberto del Barrio","doi":"10.1109/TQE.2023.3337328","DOIUrl":"https://doi.org/10.1109/TQE.2023.3337328","url":null,"abstract":"In portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets. By backtesting classical and quantum computing algorithms, we can get a sense of how these algorithms might perform in the real world. This work establishes a methodology for backtesting classical and quantum algorithms in equivalent conditions, and uses it to explore four quantum and three classical computing algorithms for portfolio optimization and compares the results. Running 10 000 experiments on equivalent conditions we find that quantum can match or slightly outperform classical results, showing a better escalability trend. To the best of our knowledge, this is the first work that performs a systematic backtesting comparison of classical and quantum portfolio optimization algorithms. In this work, we also analyze in more detail the variational quantum eigensolver algorithm, applied to solve the portfolio optimization problem, running on simulators and real quantum computers from IBM. The benefits and drawbacks of backtesting are discussed, as well as some of the challenges involved in using real quantum computers of more than 100 qubits. Results show quantum algorithms can be competitive with classical ones, with the advantage of being able to handle a large number of assets in a reasonable time on a future larger quantum computer.","PeriodicalId":100644,"journal":{"name":"IEEE Transactions on Quantum Engineering","volume":"5 ","pages":"1-20"},"PeriodicalIF":0.0,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=10329473","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139494285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-24DOI: 10.1109/TQE.2023.3336514
Mohammad Rezai;Jawad A. Salehi
The light's image is the primary source of information carrier in nature. Indeed, a single photon's image possesses a vast information capacity that can be harnessed for quantum information processing. Our scheme for implementing quantum information processing on a discretized photon wavefront via universal multiport processors employs a class of quantum Fourier optical systems composed of spatial phase modulators and 4f-processors with phase-only pupils having a characteristic periodicity that reduces the number of optical resources quadratically as compared to other conventional path-encoding techniques. In particular, this article employs quantum Fourier optics to implement some key quantum logical gates that can be instrumental in optical quantum computations. For instance, we demonstrate the principle by implementing the single-qubit Hadamard and the two-qubit controlled- not