We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the correspondence between the Feynman-Kac partial differential equation (PDE) and the Wick-rotated Schrödinger equation for this purpose. The results for a (2+1) dimensional Feynman-Kac system obtained through the variational quantum algorithm are then compared against classical ODE solvers and Monte Carlo simulation. We see a remarkable agreement between the classical methods and the quantum variational method for an illustrative example on six and eight qubits. In the non-trivial case of PDEs which are preserving probability distributions – rather than preserving the ℓ2 -norm – we introduce a proxy norm which is efficient in keeping the solution approximately normalized throughout the evolution. The algorithmic complexity and costs associated to this methodology, in particular for the extraction of properties of the solution, are investigated. Future research topics in the areas of quantitative finance and other types of PDEs are also discussed.
We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the correspondence between the Feynman-Kac partial differential equation (PDE) and the Wick-rotated Schrödinger equation for this purpose. The results for a (2+1) dimensional Feynman-Kac system obtained through the variational quantum algorithm are then compared against classical ODE solvers and Monte Carlo simulation. We see a remarkable agreement between the classical methods and the quantum variational method for an illustrative example on six and eight qubits. In the non-trivial case of PDEs which are preserving probability distributions – rather than preserving the ℓ2 -norm – we introduce a proxy norm which is efficient in keeping the solution approximately normalized throughout the evolution. The algorithmic complexity and costs associated to this methodology, in particular for the extraction of properties of the solution, are investigated. Future research topics in the areas of quantitative finance and other types of PDEs are also discussed.
A variational quantum algorithm for numerically solving partial differential equations (PDEs) on a quantum computer was proposed by Lubasch et al. [Phys. Rev. A 101, 010301(R) (2020)]. In this paper we generalize the method introduced by Lubasch et al. to cover a broader class of nonlinear PDEs as well as multidimensional PDEs and study the performance of the variational quantum algorithm on several example equations. Specifically, we show via numerical simulations that the algorithm can solve instances of the single-asset Black-Scholes equation with a nontrivial nonlinear volatility model, the double-asset Black-Scholes equation, the Buckmaster equation, and the deterministic Kardar-Parisi-Zhang equation. Our simulations use up to n=12 Ansatz qubits, computing PDE solutions with 2n grid points. We also perform proof-of-concept demonstrations with a trapped-ion quantum processor from IonQ [Nat. Commun. 10, 5464 (2019)], showing accurate computation of two representative expectation values needed for the calculation of a single time step of the nonlinear Black-Scholes equation. Through our classical simulations and demonstrations on quantum hardware, we identify and discuss several open challenges for using quantum variational methods to solve PDEs in a regime with a large number (much greater than 220) of grid points, but also a practical number of gates per circuit and circuit shots.
Partial differential equations (PDEs) play a central role in scientific and engineering analysis, with applications spanning fluid dynamics, heat and mass transfer, electromagnetism, quantum mechanics, and financial modeling, where they are used to describe diffusion processes, wave propagation, and the evolution of complex systems over space and time. Solving multidimensional partial differential equations (PDEs) is a computationally challenging problem, even for the most advanced classical systems. Over the past decade, quantum computing has attracted significant interest as a potential approach for solving complex computational problems, including multidimensional PDEs. Although a variety of approaches have been proposed for solving PDEs, most of the existing techniques are based on variational quantum algorithms (VQAs). Despite being promising, these VQA-based approaches suffer from low accuracy, long execution times, and limited scalability. In this work, we propose a scalable and efficient quantum algorithm for solving multidimensional PDEs. Our algorithm has two variants. One variant is based on the finite difference method (FDM), classical-to-quantum (C2Q) encoding, and numerical instantiation, whereas the other is based on FDM, C2Q, and column-by-column decomposition (CCD). We have also evaluated our algorithm using several practical case studies; namely, Poisson, heat, Black–Scholes, and Navier–Stokes equations. The results show that our proposed approach achieves higher accuracy, greater scalability, and faster execution time than the VQA-based approaches. We validated these findings on both noise-free and noisy simulators, as well as on a hardware emulator and real IBM quantum hardware.
Quantum computing has the potential to transform computational problem-solving by leveraging quantum mechanical principles of superposition and entanglement. This capability is particularly important for the numerical solution of complex and/or multidimensional partial differential equations (PDEs). There are currently many quantum techniques available for solving PDEs, which are mainly based on variational quantum algorithms (VQAs). However, the existing quantum PDE solvers, particularly those based on VQAs suffer from limitations such as low accuracy, high execution times, and low scalability on both simulators as well as on real quantum devices. In this work, we propose an efficient and scalable algorithm for solving multidimensional PDEs. We present two variants of our algorithm: the first leverages finite-difference method (FDM), classical-to-quantum (C2Q) encoding, and numerical instantiation, while the second employs FDM, C2Q, and column-by-column decomposition (CCD). Both variants are designed to enhance accuracy and scalability while reducing execution times. We have validated our proposed algorithm by solving several practically useful PDEs such as Poisson, heat, Black-Scholes, and Navier-Stokes equations. Our results demonstrate higher accuracy, higher scalability, and faster execution times compared to VQA-based solvers on noise-free and noisy quantum simulators from IBM and achieved promising results on real quantum hardware.
Quantum computing has the potential to revolutionize computational problem-solving by leveraging the quantum mechanical phenomena such as superposition and entanglement, enabling fundamentally different computational strategies compared to classical computing. Classical methods for solving complex and high dimensional partial differential equations (PDEs), crucial for modeling diverse physical phenomena, suffer from an exponential growth in computational complexity known as the curse of dimensionality. This can limit their effectiveness for certain high-resolution simulations and real-time computational applications. In contrast, quantum computing inherently exploits superposition and entanglement to efficiently represent and simultaneously manipulate large-scale discretized PDEs, using exponentially fewer resources compared to classical systems. There are currently many quantum techniques available for solving partial differential equations (PDEs), which are mainly based on variational quantum circuits. However, the existing quantum PDE solvers, particularly those based on variational quantum eigensolver (VQE) techniques, suffer from several limitations. These include low accuracy, high execution times, and low scalability on quantum simulators as well as on noisy intermediate-scale quantum (NISQ) devices, especially for multidimensional PDEs. In this work, we propose an efficient and scalable algorithm for solving multidimensional PDEs. We present two variants of our algorithm: the first leverages finite-difference method (FDM), classical-to-quantum (C2Q) encoding, and numerical instantiation, while the second employs FDM, C2Q, and column-by-column decomposition (CCD). Both variants are designed to enhance accuracy and scalability while reducing execution times. We have validated and evaluated our proposed concepts using a number of case studies including multidimensional Poisson equation, multidimensional heat equation, Black Scholes equation for financial option pricing, and Navier-Stokes equation for computational fluid dynamics (CFD), achieving promising results. Our results demonstrate higher accuracy, higher scalability, and faster execution times compared to VQE-based solvers on noise-free and noisy quantum simulators from IBM. Additionally, we validated our approach on hardware emulators and actual quantum hardware, employing noise mitigation techniques. This work establishes a practical and effective approach for solving PDEs using quantum computing for engineering and scientific applications.
The simulation of quantum systems currently constitutes one of the most promising applications of quantum computers. However, the integration of more general partial differential equations (PDEs) for models of classical systems that are not governed by the laws of quantum mechanics remains a fundamental challenge. Current approaches such as the Variational Quantum Linear Solver (VQLS) method can accumulate large errors and the associated quantum circuits are difficult to optimize. A recent method based on the Feynmann-Kitaev formalism of quantum dynamics has been put forth, where the full evolution of the system can be retrieved after a single optimization of an appropriate cost function. This spacetime formulation alleviates the accumulation of errors, but its application is restricted to quantum systems only. In this work, we introduce an extension of this formalism applicable to the non-unitary dynamics of classical systems including for example, the modeling of diffusive transport or heat transfer. In addition, we demonstrate how PDEs with non-linear elements can also be integrated to incorporate turbulent phenomena.
Variational quantum algorithms offer a promising new paradigm for solving partial differential equations on near-term quantum computers. Here, we propose a variational quantum algorithm for solving a general evolution equation through implicit time-stepping of the Laplacian operator. The use of encoded source states informed by preceding solution vectors results in faster convergence compared to random re-initialization. Through statevector simulations of the heat equation, we demonstrate how the time complexity of our algorithm scales with the Ansatz volume for gradient estimation and how the time-to-solution scales with the diffusion parameter. Our proposed algorithm extends economically to higher-order time-stepping schemes, such as the Crank-Nicolson method. We present a semi-implicit scheme for solving systems of evolution equations with non-linear terms, such as the reaction-diffusion and the incompressible Navier-Stokes equations, and demonstrate its validity by proof-of-concept results.