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arXiv:2011.11654

Quantum speedups for convex dynamic programming

David Sutter, Giacomo Nannicini, Tobias Sutter, Stefan Woerner

Published Nov 23, 2020• 4 citations
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Abstract

We present a quantum algorithm to solve dynamic programming problems with convex value functions. For linear discrete-time systems with a $d$-dimensional state space of size $N$, the proposed algorithm outputs a quantum-mechanical representation of the value function in time $O(T γ^{dT}\mathrm{polylog}(N,(T/\varepsilon)^{d}))$, where $\varepsilon$ is the accuracy of the solution, $T$ is the time horizon, and $γ$ is a problem-specific parameter depending on the condition numbers of the cost functions. This allows us to evaluate the value function at any fixed state in time $O(T γ^{dT}\sqrt{N}\,\mathrm{polylog}(N,(T/\varepsilon)^{d}))$, and the corresponding optimal action can be recovered by solving a convex program. The class of optimization problems to which our algorithm can be applied includes provably hard stochastic dynamic programs. Finally, we show that the algorithm obtains a quadratic speedup (up to polylogarithmic factors) compared to the classical Bellman approach on some dynamic programs with continuous state space that have $γ=1$.

DOI
10.48550/arxiv.2011.11654

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