A variational quantum algorithm for the Feynman-Kac formula

Hedayat Alghassi1, Amol Deshmukh1, Noelle Ibrahim1, Nicolas Robles1, Stefan Woerner2, and Christa Zoufal2,3

1IBM Quantum, Yorktown Heights, NY, US
2IBM Quantum, IBM Research Europe – Zurich, Switzerland
3Institute for Theoretical Physics, ETH Zurich, Switzerland

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Abstract

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.

We consider a variational quantum algorithm based on imaginary time evolution to solve the Feynman-Kac partial differential equation induced from a system of stochastic differential equations. The correspondence between the Feynman-Kac partial differential equation and the Wick-rotated Schrödinger equation is utilized for this purpose. The VarQITE results for our Feynman-Kac system are then compared against classical ODE solvers and Monte Carlo simulation. A remarkable agreement between the classical methods and VarQITE is observed for an illustrative example on six and eight qubits with an efficient ansatz. In the non-trivial case of PDEs that preserve $\ell_1$ norms — rather than $\ell_2$ norms — we introduce a proxy norm that is efficient in keeping the solution approximately normalized throughout the evolution. The algorithmic complexity and costs associated with this methodology, in particular for the extraction of properties of the solution, are investigated. Future research topics in other types of PDEs are also discussed.

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