We study to what extent quantum algorithms can speed up solving convex optimization problems. Following the classical literature we assume access to a convex set via various oracles, and we examine the efficiency of reductions between the different oracles. In particular, we show how a separation oracle can be implemented using $tilde{O}(1)$ quantum queries to a membership oracle, which is an exponential quantum speed-up over the $Omega(n)$ membership queries that are needed classically. We show that a quantum computer can very efficiently compute an approximate subgradient of a convex Lipschitz function. Combining this with a simplification of recent classical work of Lee, Sidford, and Vempala gives our efficient separation oracle. This in turn implies, via a known algorithm, that $tilde{O}(n)$ quantum queries to a membership oracle suffice to implement an optimization oracle (the best known classical upper bound on the number of membership queries is quadratic). We also prove several lower bounds: $Omega(sqrt{n})$ quantum separation (or membership) queries are needed for optimization if the algorithm knows an interior point of the convex set, and $Omega(n)$ quantum separation queries are needed if it does not.
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