Copula-based risk aggregation with trapped ion quantum computers

Abstract

AbstractCopulas are mathematical tools for modeling joint probability distributions. In the past 60 years they have become an essential analysis tool on classical computers in various fields. The recent finding that copulas can be expressed as maximally entangled quantum states has revealed a promising approach to practical quantum advantages: performing tasks faster, requiring less memory, or, as we show, yielding better predictions. Studying the scalability of this quantum approach as both the precision and the number of modeled variables increase is crucial for its adoption in real-world applications. In this paper, we successfully apply a Quantum Circuit Born Machine (QCBM) based approach to modeling 3- and 4-variable copulas on trapped ion quantum computers. We study the training of QCBMs with different levels of precision and circuit design on a simulator and a state-of-the-art trapped ion quantum computer. We observe decreased training efficacy due to the increased complexity in parameter optimization as the models scale up. To address this challenge, we introduce an annealing-inspired strategy that dramatically improves the training results. In our end-to-end tests, various configurations of the quantum models make a comparable or better prediction in risk aggregation tasks than the standard classical models.