Quantum algorithm for high-dimensional nonlinear stochastic differential equations based on Carleman linearization

Abstract

Addressing nonlinear numerical problems in quantum computing remains challenging, but several approaches, including Carleman linearization (CL), have been proposed to construct quantum algorithms for such problems. In this work, we develop a CL-based method for a high-dimensional nonlinear stochastic differential equation (SDE) $\mathrm{d}{\mathbf{X}}_t=\left(A(t){\mathbf{X}}_t+F(t){\mathbf{X}}_t^{\otimes s}\right)\mathrm{d}t+B(t)\mathrm{d}{\mathbf{W}}_t$ for an ${\mathbb{R}}^N$-valued random process ${\mathbf{X}}_t$, aiming at quantum speed-up with respect to the dimension $N$. We introduce auxiliary processes ${\mathbf{Y}}_t^j$ that approximate ${\mathbf{X}}_t^{\otimes j}$, derive a linearized system of SDEs for them, and obtain the linear ordinary differential equation (ODE) governing their expectations. We then apply a quantum ODE solver to it and, from the resulting quantum state, extract an estimate for the expectation of a linear function of ${\mathbf{X}}_t$ by overlap estimation. We show that, provided the nonlinear and noise terms in the SDE are sufficiently small relative to the linear term, the CL error decreases exponentially with the truncation order $J$ in CL, and we can estimate the target expectation with a $\mathrm{polylog}(N)$ number of queries to unitaries encoding coefficient matrices $A$, $F$, and $B$. Finally, we also run a numerical demonstration for an SDE related to Langevin dynamics, observing the exponential decay of the CL error as $J$ increases.

arXiv comment48 pages, 1 figure