Atithi Acharya, Romina Yalovetzky, Pierre Minssen, Shouvanik Chakrabarti, Ruslan Shaydulin, Rudy Raymond, Yue Sun, Dylan Herman, Ruben S. Andrist, Grant Salton, Martin J. A. Schuetz, Helmut G. Katzgraber, Marco Pistoia
{"title":"应用于近期量子计算的大规模组合优化分解管道","authors":"Atithi Acharya, Romina Yalovetzky, Pierre Minssen, Shouvanik Chakrabarti, Ruslan Shaydulin, Rudy Raymond, Yue Sun, Dylan Herman, Ruben S. Andrist, Grant Salton, Martin J. A. Schuetz, Helmut G. Katzgraber, Marco Pistoia","doi":"arxiv-2409.10301","DOIUrl":null,"url":null,"abstract":"Industrially relevant constrained optimization problems, such as portfolio\noptimization and portfolio rebalancing, are often intractable or difficult to\nsolve exactly. In this work, we propose and benchmark a decomposition pipeline\ntargeting portfolio optimization and rebalancing problems with constraints. The\npipeline decomposes the optimization problem into constrained subproblems,\nwhich are then solved separately and aggregated to give a final result. Our\npipeline includes three main components: preprocessing of correlation matrices\nbased on random matrix theory, modified spectral clustering based on Newman's\nalgorithm, and risk rebalancing. Our empirical results show that our pipeline\nconsistently decomposes real-world portfolio optimization problems into\nsubproblems with a size reduction of approximately 80%. Since subproblems are\nthen solved independently, our pipeline drastically reduces the total\ncomputation time for state-of-the-art solvers. Moreover, by decomposing large\nproblems into several smaller subproblems, the pipeline enables the use of\nnear-term quantum devices as solvers, providing a path toward practical utility\nof quantum computers in portfolio optimization.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"2 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing\",\"authors\":\"Atithi Acharya, Romina Yalovetzky, Pierre Minssen, Shouvanik Chakrabarti, Ruslan Shaydulin, Rudy Raymond, Yue Sun, Dylan Herman, Ruben S. Andrist, Grant Salton, Martin J. A. Schuetz, Helmut G. Katzgraber, Marco Pistoia\",\"doi\":\"arxiv-2409.10301\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Industrially relevant constrained optimization problems, such as portfolio\\noptimization and portfolio rebalancing, are often intractable or difficult to\\nsolve exactly. In this work, we propose and benchmark a decomposition pipeline\\ntargeting portfolio optimization and rebalancing problems with constraints. The\\npipeline decomposes the optimization problem into constrained subproblems,\\nwhich are then solved separately and aggregated to give a final result. Our\\npipeline includes three main components: preprocessing of correlation matrices\\nbased on random matrix theory, modified spectral clustering based on Newman's\\nalgorithm, and risk rebalancing. Our empirical results show that our pipeline\\nconsistently decomposes real-world portfolio optimization problems into\\nsubproblems with a size reduction of approximately 80%. Since subproblems are\\nthen solved independently, our pipeline drastically reduces the total\\ncomputation time for state-of-the-art solvers. Moreover, by decomposing large\\nproblems into several smaller subproblems, the pipeline enables the use of\\nnear-term quantum devices as solvers, providing a path toward practical utility\\nof quantum computers in portfolio optimization.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"2 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-09-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.10301\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.10301","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing
Industrially relevant constrained optimization problems, such as portfolio
optimization and portfolio rebalancing, are often intractable or difficult to
solve exactly. In this work, we propose and benchmark a decomposition pipeline
targeting portfolio optimization and rebalancing problems with constraints. The
pipeline decomposes the optimization problem into constrained subproblems,
which are then solved separately and aggregated to give a final result. Our
pipeline includes three main components: preprocessing of correlation matrices
based on random matrix theory, modified spectral clustering based on Newman's
algorithm, and risk rebalancing. Our empirical results show that our pipeline
consistently decomposes real-world portfolio optimization problems into
subproblems with a size reduction of approximately 80%. Since subproblems are
then solved independently, our pipeline drastically reduces the total
computation time for state-of-the-art solvers. Moreover, by decomposing large
problems into several smaller subproblems, the pipeline enables the use of
near-term quantum devices as solvers, providing a path toward practical utility
of quantum computers in portfolio optimization.