Quantum-Enhanced Simulation-Based Optimization

Abstract: In this paper, we introduce a quantum-enhanced algorithm for simulation-based optimization. Simulation-based optimization seeks to optimize an objective function that is computationally expensive to evaluate exactly, and thus, is approximated via simulation. Quantum Amplitude Estimation (QAE) can achieve a quadratic speed-up over classical Monte Carlo simulation. Hence, in many cases, it can achieve a speed-up for simulation-based optimization as well. Combining QAE with ideas from quantum optimization, we show how this can be used not only for continuous but also for discrete optimization problems. Furthermore, the algorithm is demonstrated on illustrative problems such as portfolio optimization with a Value at Risk constraint and inventory management.