Quantum algorithm for robust optimization via stochastic-gradient online learning

• URL: http://arxiv.org/abs/2304.02262v1
• Date: Wed, 5 Apr 2023 07:25:07 GMT
• Title: Quantum algorithm for robust optimization via stochastic-gradient online learning
• Authors: Debbie Lim, Jo\~ao F. Doriguello, Patrick Rebentrost
• Abstract summary: We consider the online robust optimization meta-algorithm by Ben-Tal et al. and show that for a large range of subgradients, this algorithm has the same guarantee as the original non-stochastic version. We develop a quantum version of this algorithm and show that an at most quadratic improvement in terms of the dimension can be achieved.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Optimization theory has been widely studied in academia and finds a large variety of applications in industry. The different optimization models in their discrete and/or continuous settings has catered to a rich source of research problems. Robust convex optimization is a branch of optimization theory in which the variables or parameters involved have a certain level of uncertainty. In this work, we consider the online robust optimization meta-algorithm by Ben-Tal et al. and show that for a large range of stochastic subgradients, this algorithm has the same guarantee as the original non-stochastic version. We develop a quantum version of this algorithm and show that an at most quadratic improvement in terms of the dimension can be achieved. The speedup is due to the use of quantum state preparation, quantum norm estimation, and quantum multi-sampling. We apply our quantum meta-algorithm to examples such as robust linear programs and robust semidefinite programs and give applications of these robust optimization problems in finance and engineering.

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