Reverse Quantum Annealing Approach to Portfolio Optimization Problems

Abstract

We investigate a hybrid quantum-classical solution method to the mean-variance portfolio optimization problems. Starting from real financial data statistics and following the principles of the Modern Portfolio Theory, we generate parametrized samples of portfolio optimization problems that can be related to quadratic binary optimization forms programmable in the analog D-Wave Quantum Annealer 2000Q. The instances are also solvable by an industry-established Genetic Algorithm approach, which we use as a classical benchmark. We investigate several options to run the quantum computation optimally, ultimately discovering that the best results in terms of expected time-to-solution as a function of number of variables for the hardest instances set are obtained by seeding the quantum annealer with a solution candidate found by a greedy local search and then performing a reverse annealing protocol. The optimized reverse annealing protocol is found to be more than 100 times faster than the corresponding forward quantum annealing on average.

arXiv comment19 pages, 6 figures (incl. appendix)

References in corpus (18)

• From the Quantum Approximate Optimization Algorithm to a Quantum Alternating Operator Ansatz
• Defining and detecting quantum speedup
• Computational Role of Multiqubit Tunneling in a Quantum Annealer
• Quantum Optimization of Fully-Connected Spin Glasses
• Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
• Quantum Annealing Applied to De-Conflicting Optimal Trajectories for Air Traffic Management
• Quantum Annealing Implementation of Job-Shop Scheduling
• Power of Pausing: Advancing Understanding of Thermalization in Experimental Quantum Annealers
• Reverse annealing for the fully connected $p$-spin model
• Modernizing Quantum Annealing using Local Searches
• Benchmarking a quantum annealing processor with the time-to-target metric
• A deceptive step towards quantum speedup detection
• Nested Quantum Annealing Correction
• Algorithm engineering for a quantum annealing platform
• Boosting quantum annealer performance via sample persistence
• Low Rank Non-Negative Matrix Factorization with D-Wave 2000Q
• A Performance Estimator for Quantum Annealers: Gauge selection and Parameter Setting
• Efficient population transfer via non-ergodic extended states in quantum spin glass

Cited by in corpus (90)

• Noisy intermediate-scale quantum (NISQ) algorithms
• Quantum Annealing for Industry Applications: Introduction and Review
• Grover Adaptive Search for Constrained Polynomial Binary Optimization
• Prospects for Quantum Enhancement with Diabatic Quantum Annealing
• Hybrid quantum-classical algorithms in the noisy intermediate-scale quantum era and beyond
• Power of Pausing: Advancing Understanding of Thermalization in Experimental Quantum Annealers
• Domain wall encoding of discrete variables for quantum annealing and QAOA
• Dynamics of reverse annealing for the fully-connected $p$-spin model
• Benchmarking Quantum Annealing Controls with Portfolio Optimization
• Towards Pricing Financial Derivatives with an IBM Quantum Computer
• Portfolio Optimization with Digitized-Counterdiabatic Quantum Algorithms
• Quantum Algorithms for Mixed Binary Optimization applied to Transaction Settlement
• Multi-objective Quantum Annealing approach for solving flexible job shop scheduling in manufacturing
• Quantum annealing with longitudinal bias fields
• Prospects and challenges of quantum finance
• Travel time optimization on multi-AGV routing by reverse annealing
• An energetic perspective on rapid quenches in quantum annealing
• Why and when is pausing beneficial in quantum annealing?
• Mean field analysis of reverse annealing for code-division multiple-access multiuser detection
• Quantum Annealing-Based Software Components: An Experimental Case Study with SAT Solving
• Solving Larger Maximum Clique Problems Using Parallel Quantum Annealing
• An Application of Quantum Annealing Computing to Seismic Inversion
• QADQN: Quantum Attention Deep Q-Network for Financial Market Prediction
• An evolving objective function for improved variational quantum optimisation
• Variationally Scheduled Quantum Simulation
• Real-time Trading System based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks by NP-hard Combinatorial Optimization
• Advanced anneal paths for improved quantum annealing
• Exploratory Combinatorial Optimization with Reinforcement Learning
• Efficient Hamiltonian Simulation for Solving Option Price Dynamics
• Greedy parameter optimization for diabatic quantum annealing
• Search range in experimental quantum annealing
• Standard quantum annealing outperforms adiabatic reverse annealing with decoherence
• Breakdown of the weak coupling limit in quantum annealing
• Practical designs for permutation symmetric problem Hamiltonians on hypercubes
• Efficiency Optimization in Quantum Computing: Balancing Thermodynamics and Computational Performance
• Counterdiabatic Reverse Annealing
• Efficient Algorithm for Binary Quadratic Problem by Column Generation and Quantum Annealing
• Encoding trade-offs and design toolkits in quantum algorithms for discrete optimization: coloring, routing, scheduling, and other problems
• Virtual Screening of Chemical Space based on Quantum Annealing
• Towards Prediction of Financial Crashes with a D-Wave Quantum Computer
• Fluctuation guided search in quantum annealing
• Initial State Encoding via Reverse Quantum Annealing and h-gain Features
• Deep learning optimal quantum annealing schedules for random Ising models
• Quantum computing approach to realistic ESG-friendly stock portfolios
• Noise amplification at spin-glass bottlenecks of quantum annealing: a solvable model
• Exploration of new chemical materials using black-box optimization with the D-wave quantum annealer
• Quantum-machine-assisted Drug Discovery
• Semi-supervised time series classification method for quantum computing
• NISQ-compatible approximate quantum algorithm for unconstrained and constrained discrete optimization
• Graver Bases via Quantum Annealing with Application to Non-Linear Integer Programs
• Particle Track Classification Using Quantum Associative Memory
• Breaking RSA Security With A Low Noise D-Wave 2000Q Quantum Annealer: Computational Times, Limitations And Prospects
• Theoretical survey of unconventional quantum annealing methods applied to adifficult trial problem
• Phase transitions in the frustrated Ising ladder with stoquastic and nonstoquastic catalysts
• Individual subject evaluated difficulty of adjustable mazes generated using quantum annealing
• Hybrid Algorithm of Linear Programming Relaxation and Quantum Annealing
• Diagnosing First and Second Order Phase Transitions with Probes of Quantum Chaos
• Online calibration scheme for training restricted Boltzmann machines with quantum annealing
• Portfolio Optimization of 60 Stocks Using Classical and Quantum Algorithms
• Unraveling Reverse Annealing: A Study of D-Wave Quantum Annealers
• Optimized QUBO formulation methods for quantum computing
• Quantum optimization with linear Ising penalty functions for customer data science
• Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing
• Speeding up Quantum Annealing with Engineered Dephasing
• Discriminating Non-Isomorphic Graphs with an Experimental Quantum Annealer
• Quantum annealer accelerates the variational quantum eigensolver in a triple-hybrid algorithm
• Advantages of fixing spins in quantum annealing
• Performance of quantum annealing for 2-SAT problems with multiple satisfying assignments
• Reinforcement Learning Enhanced Quantum-inspired Algorithm for Combinatorial Optimization
• Decoding quantum error correction with Ising model hardware
• Higher-Order Portfolio Optimization with Quantum Approximate Optimization Algorithm
• Reverse quantum annealing assisted by forward annealing
• Mapping State Transition Susceptibility in Quantum Annealing
• Subgradient Method using Quantum Annealing for Inequality-Constrained Binary Optimization Problems
• Quantum walk in a reinforced free-energy landscape: Quantum annealing with reinforcement
• Quantum Computational Insurance and Actuarial Science
• Performance of Domain-Wall Encoding for Quantum Annealing
• Optimization of Connection Patterns between Mobile Phones and Base Stations using Quantum Annealing
• A QUBO Model for Gaussian Process Variance Reduction
• The Perturbed Ferromagnetic Chain: A Tuneable Test of Quantum Hardness in the Transverse-Field Ising Model
• The anomalously slow dynamics of inhomogeneous quantum annealing
• Noise Effects on Diabatic Quantum Annealing Protocols
• Subsampling Factorization Machine Annealing
• Benchmarking Embedded Chain Breaking in Quantum Annealing
• Selected Methods for non-Gaussian Data Analysis
• Energy gap of quantum spin glasses: a projection quantum Monte Carlo study
• Efficient Construction of Feasible Solutions in Column Generation using Quantum Annealing
• Large-scale portfolio optimization with variational neural annealing
• A Quantum Model for Constrained Markowitz Modern Portfolio Using Slack Variables to Process Mixed-Binary Optimization under QAOA
• Quantum-Inspired Multi Agent Reinforcement Learning for Exploration Exploitation Optimization in UAV-Assisted 6G Network Deployment