18 citations · 18 across the 6 of their papers we have counts for
6 papers
Optimal Quantum Speedups for Repeatedly Nested Expectation Estimation
Yihang Sun, Guanyang Wang, Jose Blanchet
We study the estimation of repeatedly nested expectations (RNEs) with a constant horizon (number of nestings) using quantum computing. We propose a quantum algorithm that achieves…
Connecting Quantum Computing with Classical Stochastic Simulation
Jose Blanchet, Mark S. Squillante, Mario Szegedy +1
This tutorial paper introduces quantum approaches to Monte Carlo computation with applications in computational finance. We outline the basics of quantum computing using Grover's a…
Quantum speedup of non-linear Monte Carlo problems
Jose Blanchet, Yassine Hamoudi, Mario Szegedy +1
The mean of a random variable can be understood as a linear functional on the space of probability distributions. Quantum computing is known to provide a quadratic speedup over cla…
When are Unbiased Monte Carlo Estimators More Preferable than Biased Ones?
Guanyang Wang, Jose Blanchet, Peter W. Glynn
Due to the potential benefits of parallelization, designing unbiased Monte Carlo estimators, primarily in the setting of randomized multilevel Monte Carlo, has recently become very…
Quadratic Speed-up in Infinite Variance Quantum Monte Carlo
Jose Blanchet, Mario Szegedy, Guanyang Wang
In this study, we give an extension of Montanaro's arXiv/archive:1504.06987 quantum Monte Carlo method, tailored for computing expected values of random variables that exhibit infi…
On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case
Mariana Olvera-Cravioto, Jose Blanchet, Peter Glynn
Two of the most popular approximations for the distribution of the steady-state waiting time, , of the M/G/1 queue are the so-called heavy-traffic approximation and hea…