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arXiv:2401.07497

Quadratic Speed-up in Infinite Variance Quantum Monte Carlo

José Blanchet, Márió Szegedy, Guanyang Wang

Published Jan 15, 2024• 0 citations
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Abstract

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 infinite variance. This addresses a challenge in analyzing heavy-tailed distributions, which are commonly encountered in various scientific and engineering fields. Our quantum algorithm efficiently estimates means for variables with a finite $(1+δ)^{\text{th}}$ moment, where $δ$ lies between 0 and 1. It provides a quadratic speedup over the classical Monte Carlo method in both the accuracy parameter $ε$ and the specified moment of the distribution. We establish both classical and quantum lower bounds, showcasing the near-optimal efficiency of our algorithm among quantum methods. Our work focuses not on creating new algorithms, but on analyzing the execution of existing algorithms with available additional information about the random variable. Additionally, we categorize these scenarios and demonstrate a hierarchy in the types of supplementary information that can be provided.

DOI
10.48550/arxiv.2401.07497

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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 infinite variance. This addresses a challenge in analyzing heavy-tailed distributions, which are commonly encountered in various scientific and engineering fields. Our quantum algorithm efficiently estimates means for variables with a finite (1+δ)th(1+δ)^{\text{th}}(1+δ)th moment, where δδδ lies between 0 and 1. It provides a quadratic speedup over the classical Monte Carlo method in both the accuracy parameter εεε and the specified moment of the distribution. We establish both classical and quantum lower bounds, showcasing the near-optimal efficiency of our algorithm among quantum methods. Our work focuses not on creating new algorithms, but on analyzing the execution of existing algorithms with available additional information about the random variable. Additionally, we categorize these scenarios and demonstrate a hierarchy in the types of supplementary information that can be provided.
We present a new quantum algorithm for estimating the mean of a real-valued random variable obtained as the output of a quantum computation. Our estimator achieves a nearly-optimal quadratic speedup over the number of classical i.i.d. samples needed to estimate the mean of a heavy-tailed distribution with a sub-Gaussian error rate. This result subsumes (up to logarithmic factors) earlier works on the mean estimation problem that were not optimal for heavy-tailed distributions [Brassard et al., 2002; Brassard et al., 2011], or that require prior information on the variance [Heinrich, 2002; Montanaro, 2015; Hamoudi and Magniez, 2019]. As an application, we obtain new quantum algorithms for the (ε,δ)-approximation problem with an optimal dependence on the coefficient of variation of the input random variable.
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 classical Monte Carlo methods for mean estimation. In this paper, we investigate whether a similar quadratic speedup is achievable for estimating non-linear functionals of probability distributions. We propose a quantum-inside-quantum Monte Carlo algorithm that achieves such a speedup for a broad class of non-linear estimation problems, including nested conditional expectations and stochastic optimization. Our algorithm improves upon the direct application of the quantum multilevel Monte Carlo algorithm introduced by An et al. (2021). The existing lower bound indicates that our algorithm is optimal up polylogarithmic factors. A key innovation of our approach is a new sequence of multilevel Monte Carlo approximations specifically designed for quantum computing, which is central to the algorithm's improved performance.
We present a new quantum algorithm for estimating the mean of a real-valued random variable obtained as the output of a quantum computation. Our estimator achieves a nearly-optimal quadratic speedup over the number of classical i.i.d. samples needed to estimate the mean of a heavy-tailed distribution with a sub-Gaussian error rate. This result subsumes (up to logarithmic factors) earlier works on the mean estimation problem that were not optimal for heavy-tailed distributions [BHMT02,BDGT11], or that require prior information on the variance [Hein02,Mon15,HM19]. As an application, we obtain new quantum algorithms for the (ϵ,δ)(\epsilon,\delta)(ϵ,δ)-approximation problem with an optimal dependence on the coefficient of variation of the input random variable.
Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition functions. In this work, we describe a quantum algorithm which can accelerate Monte Carlo methods in a very general setting. The algorithm estimates the expected output value of an arbitrary randomized or quantum subroutine with bounded variance, achieving a near-quadratic speedup over the best possible classical algorithm. Combining the algorithm with the use of quantum walks gives a quantum speedup of the fastest known classical algorithms with rigorous performance bounds for computing partition functions, which use multiple-stage Markov chain Monte Carlo techniques. The quantum algorithm can also be used to estimate the total variation distance between probability distributions efficiently.
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 classical Monte Carlo methods for mean estimation. In this paper, we investigate whether a similar quadratic speedup is achievable for estimating non-linear functionals of probability distributions. We propose a quantum-insidequantum algorithm that achieves this speedup for the broad class of nonlinear estimation problems known as nested expectations. Our algorithm improves upon the direct application of the quantum-accelerated multilevel Monte Carlo algorithm introduced by An et al. (2021). The existing lower bound indicates that our algorithm is optimal up to polylogarithmic factors. A key innovation of our approach is a new sequence of multilevel Monte Carlo approximations specifically designed for quantum computing, which is central to the algorithm's improved performance.
We study stochastic optimization with heavy-tailed gradient noise. We first propose a novel quantum mean estimator for multivariate heavy-tailed random variables that achieves lower query complexity than optimal classical estimators in the low-dimensional regime. We further develop an unbiased quantum mean estimator by applying a generalized multi-level Monte Carlo technique. We prove quantum lower bounds showing that, when the dimension ddd of the random vector is small and can be viewed as a constant, our quantum estimators are optimal up to logarithmic factors. We further derive stronger dimension-dependent lower bounds for tail index p>4/3p>4/3p>4/3, showing that a nontrivial dependence on the dimension is unavoidable in the low-dimensional regime. Based on these estimators, we propose a quantum normalized stochastic gradient descent method (QNSGD\texttt{QNSGD}QNSGD), which finds an εεε-stationary point using O~(d ε−5p−42p−2)\tilde{\mathcal{O}}\big(\sqrt d\,ε^{-\frac{5p-4}{2p-2}}\big)O~(d​ε−2p−25p−4​) queries to the quantum stochastic gradient oracle. For a convex objective function, we propose a quantum projected stochastic gradient descent method (QPSGD\texttt{QPSGD}QPSGD), which computes a solution with εεε-optimal solution using O~(d ε−3p−22p−2+ε−2)\tilde{\mathcal{O}}\big(\sqrt d\,ε^{-\frac{3p-2}{2p-2}}+ε^{-2}\big)O~(d​ε−2p−23p−2​+ε−2) queries in expectation. These sharper bounds improve upon the classical lower bounds Ω(ε−3p−2p−1)Ω\big(ε^{-\frac{3p-2}{p-1}}\big)Ω(ε−p−13p−2​) for nonconvex problems and Ω(ε−pp−1)Ω\big(ε^{-\frac{p}{p-1}}\big)Ω(ε−p−1p​) for convex problems in the low-dimensional regimes d≲ε−pp−1d\lesssimε^{-\frac{p}{p-1}}d≲ε−p−1p​ and d≲ε−2−pp−1d\lesssimε^{-\frac{2-p}{p-1}}d≲ε−p−12−p​, respectively.