We develop a quantum algorithm for the regularized Wasserstein proximal operator, which is a fundamental tool in optimal transport and mean-field games. The regularization introduces a small diffusive term into the continuity equation of the Benamou-Brenier formulation, which results in a forward-backward PDE system consisting of a Fokker-Planck equation and a viscous Hamilton-Jacobi equation with a quadratic Hamiltonian. Through the Cole-Hopf transformation, both equations are converted to forward heat equations, whose coupling requires a Hadamard division to prepare the initial data for the second heat equation and a Hadamard product to recover the terminal density. We solve these heat equations via the Schrödingerization method and implement the Hadamard division and product operations using simple matrix-vector multiplication representations. The complete quantum algorithm prepares an $\varepsilon$-approximation of the terminal density state with $\mathcal{O}(d N_x T \log^2(1/\varepsilon))$ query complexity, up to constants depending on the potential and initial density, where $d$ is the spatial dimension, $N_x$ is the number of grid points per spatial dimension and $T$ is the evolution time. The complexity depends only {\it linearly} on $d N_x$, yielding an {\it exponential} speedup over classical methods, whose cost scales as $N_x^d$ per time step. Numerical experiments validate the effectiveness of the proposed algorithm.
We develop a quantum algorithm for the regularized Wasserstein proximal operator, which is a fundamental tool in optimal transport and mean-field games. The regularization introduces a small diffusive term into the continuity equation of the Benamou-Brenier formulation, which results in a forward-backward PDE system consisting of a Fokker-Planck equation and a viscous Hamilton-Jacobi equation with a quadratic Hamiltonian. Through the Cole-Hopf transformation, both equations are converted to forward heat equations, whose coupling requires a Hadamard division to prepare the initial data for the second heat equation and a Hadamard product to recover the terminal density. We solve these heat equations via the Schrödingerization method and implement the Hadamard division and product operations using simple matrix-vector multiplication representations. The complete quantum algorithm prepares an ε-approximation of the terminal density state with O(dNxTlog2(1/ε)) query complexity, up to constants depending on the potential and initial density, where d is the spatial dimension, Nx is the number of grid points per spatial dimension and T is the evolution time. The complexity depends only {\it linearly} on dNx, yielding an {\it exponential} speedup over classical methods, whose cost scales as Nxd per time step. Numerical experiments validate the effectiveness of the proposed algorithm.
We present a framework for efficient extraction of the viscosity solutions of nonlinear Hamilton-Jacobi equations with convex Hamiltonians. These viscosity solutions play a central role in areas such as front propagation, mean-field games, optimal control, machine learning, and a direct application to the forced Burgers' equation. Our method is based on an entropy penalization method which generalizes the Cole-Hopf transform from quadratic to general convex Hamiltonians, allowing an approximation of viscous Hamilton-Jacobi dynamics by a discrete-time linear dynamics which approximates a linear heat-like parabolic equation, and thus can also extend to continuous-time dynamics. This makes the method suitable for quantum simulation. The validity of these results hold for arbitrary nonlinearity that correspond to convex Hamiltonians, and for arbitrarily long times, thus obviating a chief obstacle in most quantum algorithms for nonlinear partial differential equations. We provide quantum algorithms-both analog and digital-for extracting pointwise values, gradients, minima, and function evaluations at the minimizer of the viscosity solution, without requiring nonlinear updates or full state reconstruction.
Abstract. We introduce a simple and stable computational method for ill-posed partial differential equation (PDE) problems. The method is based on Schrödingerization, introduced in [S. Jin, N. Liu, and Y. Yu, Phys. Rev. Lett., 133 (2024), 230602; S. Jin, N. Liu, and Y. Yu, Phys. Rev. A, 108 (2023), 032603], which maps all linear PDEs into Schrödinger-type equations in one higher dimension, for quantum simulations of these PDEs. Although the original problem is ill-posed, the Schrödingerized equations are Hamiltonian systems and time-reversible, allowing stable computation both forward and backward in time. The original variable can be recovered by data from suitably chosen domain in the extended dimension. We will use the (constant and variable coefficient) backward heat equation and the linear convection equation with imaginary wave speed as examples. Error analysis of these algorithms are conducted and verified numerically. The methods are applicable to both classical and quantum computers, and we also lay out quantum algorithms for these methods. Moreover, we introduce a smooth initialization for the Schrödingerized equation, which will lead to essentially spectral accuracy for the approximation in the extended space, if a spectral method is used. Consequently, the extra qubits needed due to the extra dimension, if a qubit-based quantum algorithm is used, for both well-posed and ill-posed problems, becomes almost [Formula: see text] where [Formula: see text] is the desired precision. This optimizes the complexity of the Schrödingerization based quantum algorithms for any nonunitary dynamical system introduced in [S. Jin, N. Liu, and Y. Yu, Phys. Rev. Lett., 133 (2024), 230602; S. Jin, N. Liu, and Y. Yu, Phys. Rev. A, 108 (2023), 032603].
We present a framework for efficient extraction of the viscosity solutions of nonlinear Hamilton-Jacobi equations with convex Hamiltonians. These viscosity solutions play a central role in areas such as front propagation, mean-field games, optimal control, machine learning, and a direct application to the forced Burgers' equation. Our method is based on an entropy penalisation method proposed by Gomes and Valdinoci, which generalises the Cole-Hopf transform from quadratic to general convex Hamiltonians, allowing a reformulation of viscous Hamilton-Jacobi dynamics by a discrete-time linear dynamics which approximates a linear heat-like parabolic equation, and can also extend to continuous-time dynamics. This makes the method suitable for quantum simulation. The validity of these results hold for arbitrary nonlinearity that correspond to convex Hamiltonians, and for arbitrarily long times, thus obviating a chief obstacle in most quantum algorithms for nonlinear partial differential equations. We provide quantum algorithms, both analog and digital, for extracting pointwise values, gradients, minima, and function evaluations at the minimiser of the viscosity solution, without requiring nonlinear updates or full state reconstruction.
Quantum linear systems algorithms (QLSAs) aim to solve linear systems $A\bb{x}=\bb{b}$ exponentially faster than classical methods under certain conditions. In this work, we develop quantum algorithms for solving linear algebraic equations from an ODE-based perspective. Inspired by the linear combination of Hamiltonian simulation (LCHS) representation in the Fourier approach \cite{Childs2017QLSA}, we express the solution $\bb{x}$ as a linear combination of solutions to a system of linear convection equations, which become Schrödinger-type equations with unitary evolutions in the Fourier domain. We refer to this representation as LC-Schrödingerization. Based on this result, we construct an LCHS-based quantum algorithm with two LCHS instances: one for time-marching and one for numerical integration. The key construction uses the derivative of a Gaussian-smoothed hat function and recovers the solution over a fixed auxiliary interval. This permits a truncation time independent of the target accuracy and avoids the loss in success probability from selecting a single grid point. Periodization and explicit Fourier coefficients provide the corresponding projection error bounds. Under the stated oracle assumptions and given a constant-factor estimate of the solution norm, direct simulation of the select operators and block preconditioning achieve the optimal matrix-query complexity O(κAlogε1) without using variable-time amplitude amplification (VTAA). The same upper bound holds for queries to the right-hand-side preparation oracle.
We introduce a simple and stable computational method for ill-posed partial differential equation (PDE) problems. The method is based on Schrödingerization, introduced in [S. Jin, N. Liu and Y. Yu, arXiv:2212.13969][S. Jin, N. Liu and Y. Yu, Phys. Rev. A, 108 (2023), 032603], which maps all linear PDEs into Schrödinger-type equations in one higher dimension, for quantum simulations of these PDEs. Although the original problem is ill-posed, the Schrödingerized equations are Hamiltonian systems and time-reversible, allowing stable computation both forward and backward in time. The original variable can be recovered by data from suitably chosen domain in the extended dimension. We will use the backward heat equation and the linear convection equation with imaginary wave speed as examples. Error analysis of these algorithms are conducted and verified numerically. The methods are applicable to both classical and quantum computers, and we also lay out quantum algorithms for these methods. Moreover, we introduce a smooth initialization for the Schrödingerized equation which will lead to essentially spectral accuracy for the approximation in the extended space, if a spectral method is used. Consequently, the extra qubits needed due to the extra dimension, if a qubit based quantum algorithm is used, for both well-posed and ill-posed problems, becomes almost loglog1/ε where ε is the desired precision. This optimizes the complexity of the Schrödingerization based quantum algorithms for any non-unitary dynamical system introduced in [S. Jin, N. Liu and Y. Yu, arXiv:2212.13969][S. Jin, N. Liu and Y. Yu, Phys. Rev. A, 108 (2023), 032603].
The solution of option-pricing problems may turn out to be computationally demanding due to non-linear and path-dependent payoffs, the high dimensionality arising from multiple underlying assets, and sophisticated models of price dynamics. In this context, quantum computing has been proposed as a means to address these challenges efficiently. Prevailing approaches either simulate the stochastic differential equations governing the forward dynamics of underlying asset prices or directly solve the backward pricing partial differential equation. Here, we present an end-to-end quantum algorithmic framework that solves the Kolmogorov forward (Fokker-Planck) partial differential equation for local-volatility models by mapping it to a Hamiltonian-simulation problem via the Schrödingerisation technique. The algorithm specifies how to prepare the initial quantum state, perform Hamiltonian simulation, and how to efficiently recover the option price via a swap test. In particular, the efficiency of the final solution recovery is an important advantage of solving the forward versus the backward partial differential equation. Thus, our end-to-end framework offers a potential route toward quantum advantage for challenging option-pricing tasks. In particular, we obtain a polynomial advantage in grid size for the discretization of a single dimension. Nevertheless, the true power of our methodology lies in pricing high-dimensional systems, such as baskets of options, because the quantum framework admits an exponential speedup with respect to dimension, overcoming the classical curse of dimensionality.