Quantum speedup of non-linear Monte Carlo problems

The mean of a random variable can be understood as a linear functional on the space of probability distributions. Quantum computing is known to provide a quadratic speedup over classical Monte Carlo methods for mean estimation. In this paper, we investigate whether a similar quadratic speedup is achievable for estimating non-linear functionals of probability distributions. We propose a quantum-insidequantum algorithm that achieves this speedup for the broad class of nonlinear estimation problems known as nested expectations. Our algorithm improves upon the direct application of the quantum-accelerated multilevel Monte Carlo algorithm introduced by An et al. (2021). The existing lower bound indicates that our algorithm is optimal up to polylogarithmic factors. A key innovation of our approach is a new sequence of multilevel Monte Carlo approximations specifically designed for quantum computing, which is central to the algorithm's improved performance.