Classical-Quantum Algorithm for Solving Stochastic Programs

Abstract

Stochastic programming provides a rigorous mathematical framework for making decisions under uncertainty in a risk-aware manner. Two-stage stochastic programming is, perhaps, the simplest form of this framework. Here the first-stage variables represent decisions that must be made "here and now" in the face of uncertainty, while the second-stage variables are decisions made after uncertain events. However, the broad adoption of stochastic programming has been hindered by computational challenges caused by the two-stage stochastic programming formulation which requires solving an ensemble of optimization problems. Using quantum amplitude estimation (QAE), quantum computers have shown the theoretic ability to compute expectations with Monte-Carlo methods with quadratically fewer samples than classical methods. In this work, we present a quantum algorithm for computing the expectation term using QAE for given first-stage decisions. Further, we detail methods of computing gradient information from the quantum calculation enabling the application of classical gradient-based optimization techniques. The result is a classical-quantum hybrid method of solving two-stage stochastic programs. These techniques are demonstrated with computational experiments based an engineering optimization problem.