The purpose of this research is to develop improved methods for the numerical resolution of stochastic dynamic optimisation problems. Although Bellman’s infamous “curse of dimensionality” impedes the numerical resolution of all but the simplest such problems, approximation methods have had considerable success. At the same time, recent research shows that the quantum computing paradigm could revolutionise the resolution of optimisation problems.
However, no research appears yet to have considered the application of quantum computing to stochastic dynamic optimisation problems. This research proposes the development of new algorithms that leverage the power of both approximation methods and quantum computing, in order to improve performance and enable the resolution of larger instances of such problems than is currently possible.
This project is supported by Instituto Serrapilheira.