__Ajay
Jasra__

Associate Professor, Department of Statistics and Applied
Probability (DSAP), National
University of Singapore.

__Degrees, Positions
& Editorial Work __

Since 12/2011-: Associate Professor
(Tenured), DSAP, National University of Singapore, SG.

09/2008-12/2011: Assistant Professor (Tenured), Mathematics, Imperial College London.

03/2008-09/2008: Lecturer, Institute of Statistical Mathematics, JP.

10/2006-03/2008: Chapman Fellow of Mathematics, Mathematics, Imperial College London.

02/2006-10/2006: Research Associate, Engineering, University of Cambridge.

10/2005-02/2006: Research Associate, Statistics, University of Oxford.

10/2002-10/2005: Ph.D., Imperial College London.

I am also an affiliated member of the risk management institute and centre for quantitative

finance at NUS. I am an associate member of the stochastic analysis group at Imperial College London.

I am currently associate editor at:

American Journal of Algorithms and Computing (2012-)

Statistics and Computing (2011-)

Stat (2012-).

__Funding __

My Research is funded by the following
grants:

AcRF Tier 2 Grant: `Approximate Computational Methods for
High-Dimensional Systems’ (Co-PI with Nott).

2014-2017,
S$572820.

EPSRC Grant: `Advanced Stochastic
Computation for Stochastic Trees’ (Visiting Researcher with De Iorio,

Beskos and Balding). 2013-2016,
£401382.

MOE Grant: `Approximate and
High-Dimensional Filtering’. 2012-2015, S$174200.

__Research Interests __

Bayesian Statistics.

Computational
finance.

Markov chain
theory.

Monte Carlo
methods.

For more information on my research,
please see my Google Scholar profile.

__Publications: Journals (41)__

(2014) Persing, A., Jasra A., Beskos A., Balding D.
& De Iorio M. An approach for
change-points on trees. J. Comp. Biol. (to appear).
arXiv.

(2014) Persing A. & Jasra A. Twisting the alive
particle filter. Meth. Comp. Appl. Probab. (to appear). arXiv.

(2014) Wang J. & Jasra
A. Monte Carlo algorithms for computing
alpha-permanents. Stat. Comp. (to appear). Preliminary.

(2014) Yildirim,
S., Singh S. S., Dean T., & Jasra A. Parameter estimation in HMMs with
intractable likelihoods via SMC. JCGS (to appear). arXiv.

(2014) Jasra, A. On the behaviour of the backward
Feynman-Kac formula.
J. Appl. Probab. (to
appear). arXiv.

(2014)
Dean, T., Singh, S., Jasra, A. & Peters, G. Estimation
of HMMs with Intractable Likelihoods. Scand.
J. Statist. (to appear). arXiv.

(2014) Zhang, X., Nott, D., Yau, C. & Jasra, A. A sequential algorithm for fast
fitting of mixtures. JCGS (to appear). arXiv.

(2014) Kantas, N., Beskos, A., & Jasra, A. SMC for inverse problems: a case study for Navier Stokes. SIAM/ASA
JUQ, 2, 464-489. arXiv.

(2014) Ehrlich, E., Jasra,
A., & Kantas, N. Gradient free parameter estimation
for intractable HMMs. Meth. Comp. Appl. Probab.
(to appear). arXiv.

(2014) Cozzini, A., Jasra, A. Montana G. & Persing
A. Bayesian Mixture of Lasso
Regressions., Comput. Stat. Data Anal.
77, 84-97. arXiv.

(2014) Beskos,
A., Crisan, D. & Jasra,
A. On the stability of SMC in high-dimensions. Ann. Appl. Probab. 24, 1396-1445. arXiv**.**

(2014) Jasra, A., Kantas,
N. & Ehrlich E. Approximate
inference for observation driven time series. TOMACS, 24, article 13. arXiv.

(2014) Martin, J., Jasra,
A., Singh, S., Whiteley, N., Del Moral, P. &
McCoy, E. ABC Smoothing.
Stoch.
Anal. Appl. 32, 397-422. arXiv.

(2014) Beskos,
A., Crisan D., Jasra, A.
& Whiteley, N. Error bounds for SMC in
high-dimensions. Adv. Appl. Probab. 46, 279-306. arXiv.

(2014) Wang J., Jasra
A. & De Iorio M. Computational methods for network
models. J. Comp. Biol. 21, 141-161. arXiv.

(2014) Jasra,
A., Kantas N. & Persing,
A. Bayesian inference for partially
observed stopped processes Stat. Comp. 24, 1-20. arXiv.

(2013) Cozzini,
A., Jasra, A. & Montana, G. Model-based clustering with gene ranking.
J. Bio. Comp. Biol. 11, 1341007. arXiv.

(2013) Martin, J., Jasra,
A. & McCoy, E. Inference for a class of partially observed point
process. Ann. Inst. Statist.
Math. 65, 413-437. arXiv.

(2013) Persing A. & Jasra A. Likelihood estimation for hidden
Markov models, Stat. Prob. Lett.
83, 1433-1442. Preliminary.

(2012) Tsagaris, T, Jasra, A &
Adams, N. Robust
and Adaptive algorithms for online portfolio selection. Quant. Finance. 12, 1651-1662. arXiv.

(2012) Jasra, A., Singh, S,
Martin, J & McCoy E. Filtering via ABC,
Stat. Comp. 22, 1223-1237. (in the special issue on
ABC: introduction).

(2012) Del Moral, P., Doucet,
A. & Jasra, A. An Adaptive SMC Method for Approximate
Bayesian Computation. Stat. Comp. 22, 1009-1020.

(2012) Whiteley,
N., Kantas, N. & Jasra,
A. Linear variance for particle
approximations of F-K formulae. Stoch.
Proc. Appl. 122, 1840-1865.

(2012) Del Moral, P., Doucet,
A. & Jasra, A. On Adaptive Resampling Procedures for
SMC Methods, Bernoulli. 18, 252-272.

(2011) Jasra, A, De Iorio, M. & Chadeau-Hyam M The Time Machine. Proc. Roy. Soc. A. 467, 2350-2370. arXiv.

(2011) Andrieu,
C, Jasra, A, Doucet, A
& Del Moral, P, On Non-Linear Markov chain Monte
Carlo, Bernoulli. 17, 987-1014.

(2011) Jasra, A. &
Holmes CC. Stochastic Boosting Algorithms,
Stat. Comp. 21, 335-347.

(2011) Jasra, A. & Del Moral, P. SMC
for option pricing, Stoch. Anal. Appl. 29, 292-316.

(2011) Jasra,
A. Stephens, DA, Doucet, A, & Tsagaris, T., Inference for Levy driven SV Models,
Scand. J. Statist. 38, 1-22.

(2009) Jasra,
A. & Doucet, A. SMC
Methods for Diffusions, Proc. Roy. Soc. A. 465, 3709-3727.

(2009) Holmes, CC & Jasra, A. Antithetic Methods for Gibbs
Samplers, JCGS. 18,
401-414.

(2009)
Pei, T., Jasra, A., Hand D. J., Zhu, A. & Zhou, C. DECODE: a new method for clusters in
spatial data, Data Min. Know. Disc. 18, 337-369.

(2008) Jasra,
A, & Doucet, A, Stability of SMC Samplers.
Stat. Prob. Lett. 78, 3062-3069.

(2008) Andrieu,
C, Jasra, A, Doucet, A
& Del Moral, P, A note on the convergence of the Equi-Energy Sampler, Stoch. Anal. Appl.
26, 298-313.

(2008) Jasra,
A, Doucet, A, Stephens, DA & Holmes, CC, Interacting SMC Samplers,
Comput. Stat. Data Anal.
10, 1765-1791.

(2008) Jasra, A, & Yang,
C, A regeneration proof of the CLT for
uniformly ergodic Markov chains,
Stat. Prob. Lett. 78, 1649-1655.

(2007) Jasra, A, Stephens, DA, & Holmes, CC Population-based reversible Jump
MCMC, Biometrika. 94, 787-807.

(2007) Jasra, A, Stephens DA
& Holmes, CC, On population-based simulation for
static inference、Stat. Comp. 17,
263-279.

(2006) Jasra,
A, Stephens, DA, Gallagher, KL & Holmes, CC, Bayesian Mixture Modelling in
Geochronology via MCMC, Math. Geol. 38,
269-300.

(2006) Del Moral, P, Doucet,
A & Jasra, A, Sequential Monte Carlo Samplers,
JRSSB. 68, 411-436. A
related note is available here.

(2005) Jasra A, Holmes CC
& Stephens DA, MCMC methods and the label switching
problem in Bayesian mixture modelling, Stat. Sci.
20, 50-67.

__Publications: Conference/ In Books/ Discussions/Book
Reviews/Thesis (12)__

(2012) Jasra,
A. Review of `Understanding Probability’. Asia Pacific Mathematics News
Letter.

(2012) Barthelme’
S., Chopin, N., Jasra A. & Singh, S. Comments on the paper of Fearnhead & Prangle.

(Thanks to
Christian Robert for producing the linked document), JRSSB.

(2012) Jasra, A. Comments on the paper of Fearnhead & Prangle. JRSSB.

(2012) Jasra,
A. Review of `Exploring Monte Carlo
Methods’. Materials Today.

(2011) Jasra, A. & Singh, S. Comments on the paper of Girolami & Calderhead, JRSSB.

(2007) Hoffman, M., Doucet,
A. De Freitas, N. & Jasra, A. Bayesian Policy Learning with
Trans-Dimensional MCMC, NIPS.

(2007) Andrieu,
C, Jasra, A., Doucet, A
& Del Moral, P, Convergence of the Equi-Energy
Sampler,

ESIAM Proc.

(2007) Andrieu,
C, Jasra, A., Doucet, A
& Del Moral, P, Non-Linear Markov chain Monte Carlo,

ESIAM Proc.

(2006) Gallagher, KL, Jasra, A., Stephens, DA & Holmes, CC, A new approach to
mixture modelling for geochronology,

16th Annual V M
Goldschmidt Conference.

(2006) Doucet, A, Montesano, L & Jasra,
A., Optimal filtering for partially observed point processes, ICASSP.

(2006) Del Moral,
P, Doucet, A & Jasra,
A., Sequential Monte Carlo for Bayesian
Computation, Bayesian
Statistics 8.

(2005), Jasra,
A., Bayesian Inference for Mixture Models via Monte Carlo Computation. PhD
Thesis, Imperial College London.

Some information is here.

__Technical Reports (7)__

These are all submitted (or about to be)
preprints.

(2014) Chan, H. P., Heng
C. W. & Jasra, A. Theory of parallel particle filters.

(2014) Wang, S., Shi, T., Zhang, L., Jasra, A., Zeng, M. Extended H_{\infty} finite time control.

(2014) Zhang, L, Wang, S., Karimi,
H. R. & Jasra A. Robust finite-time control of
delayed systems.

(2014) Beskos,
A., Jasra, A., Kantas N.
& Thiery A. On the convergence of adaptive SMC methods. The previous article is here.

(2014) Jasra, A. ABC for a class of time series
models.

(2013) Jasra,
A., Lee, A., Zhang X. & Yau, C.
The alive particle filter.

(2013) Campanella,
G., De Iorio, M., Jasra, A.
& Chadeau-Hyam, M. The TimeMachine package
for inference on stochastic trees. Manual.

__Talks/Visits__

A list of
forthcoming/recent talks.

09/15 SMC 2015
(FR).

01/15 9^{th}
Conference on Computational
Physics (SG).

12/14 Greek Stochastics (GR).

12/14 UCL (UK).

10/14 KAUST (KSA).

09/14 Osaka University (JP)

09/14 U-Tokyo (JP).

09/14 NUS-UTokyo Workshop on Quantitative
Finance (JP).

09/14 UNSW
(AUS).

__Collaborators__

This is a list of research
collaborators, former advisors and those whom I have co-advised PhD students and
post-docs.

Niall
Adams (Imperial, Mathematics).

Christophe Andrieu (U. Bristol, Mathematics).

David Balding (U. Melbourne,
Mathematics).

Alexandros Beskos
(UCL, Statistics).

Marc
Chadeau-Hyam (Imperial, Biostatistics).

Hock Peng Chan (NUS,
Statistics).

Dan Crisan
(Imperial, Mathematics).

Pierre Del Moral
(UNSW, Mathematics & Statistics).

Arnaud Doucet
(U. Oxford, Statistics). I worked for Arnaud for 8 months in
Cambridge.

Maria De Iorio (UCL, Statistics).

Chris Holmes (U. Oxford,
Statistics). I worked for Chris for 4 months in Oxford and he was
my PhD co-advisor.

Nikolas Kantas
(Imperial, Mathematics).

Anthony
Lee (Warwick, Statistics).

Emma
McCoy (Imperial, Mathematics).

Giovanni Montana (Kings College, Comp Sci.).

David Nott (NUS, Statistics).

Sumeetpal
Singh (U. Cambridge, Engineering).

Dave Stephens (McGill U.,
Mathematics). Dave was my PhD co-advisor.

Alexandre Thiery
(NUS, Statistics).

Theo
Tsagaris (Tudor Capital, Hedge Fund).

Nick Whiteley
(U. Bristol, Mathematics).

Chris
Yau (Wellcome Trust,
Oxford).

Sinan Yildirim
(U. Bristol, Mathematics).

Lixian
Zhang (Harbin Inst. Tech., Engineering).

__Teaching__

ST5219 Bayesian
hierarchical modelling.

Assessment 1: Sheet, to be
handed in by Friday 19^{th} September, 10pm.

Non-assessed Problem Sheets:

Solutions:

R Sheets:

__Postdocs__

**Current:**

All postdocs based at DSAP NUS, unless
otherwise stated.

Daniel Paulin
(2014-Present). Joint with Alex Thiery
and David Nott.

Yan Zhou (2014-Present). Joint with David Nott.

Victor Ong (2014-Present). Joint with David Nott.

Adam Persing (2013-Present) at UCL.
Joint with Maria De Iorio, Alex Beskos and David Balding.

**Past:**

Pierre Jacob (2012-2013, DSAP NUS). Pierre is now at Oxford as post-doc
and will move to Harvard stat as assistant Prof.

__PhD Students__

**Current: **

All students based at DSAP NUS.

Linda Xu (2014-Present). Joint with
David Nott.

Deborshee Sen
(2014-Present). Joint with Alex Thiery
and Alex Beskos.

Ege Muzzafer (2013-Present). Joint with Alex Beskos.

Chiang Wee Heng
(2012-Present). Joint with Hock Peng Chan.

Junshan Wang
(2012-Present, on leave). Joint with David Nott.

Shun Wang (2013-Present). Shun is a visiting PhD
student on a CSC scholarship. His home university is Harbin Inst. Technology

and his
domestic advisor (main) is Lixian Zhang.

**Past:**

All students obtained a PhD unless otherwise stated
and were based

at the
Department of Mathematics, Imperial College London. The last four students

were advised
remotely from NUS, during part of their PhD.

Xiaole Zhang
(2011-2013). Joint with Chris Yau.

Xiaole now works
in finance in China, completing his PhD in 2 years.

Adam Persing (2011-2013). Joint with Dan Crisan and Leonardo Bottolo.

Adam now works in academia as a postdoc at UCL,
completing his PhD in 2 years.

Elena Ehrlich (2011-2013). Joint
with Nikolas Kantas.

Elly now works
in data analytics in California. She completed her PhD with Nikolas and I in 2.5 years after switching advisor.

James Martin
(2008-2012). Joint with Emma McCoy.

James now works in academia as a postdoc at UCL,
completing his PhD in 3.5 years.

Alberto Cozzini (2010-2012).
Joint with Giovanni Montanna.

Alberto now works in finance/sports betting in London.
With Giovanni, we worked together for 1 year to complete his thesis.

Chris Odenuye (2010-2012). Joint with Dave Stephens.

Chris was already head of credit derivatives at an
investment bank. With Dave, we helped him complete his PhD after some years of
trying.

Irfan Sheikh (2008-2010). Joint with
Emma McCoy.

Irfan now works in energy analysis in London. With
Emma, we worked on the final two years of Irfan’s thesis after two advisor
switches.

Michele Bottone (2009-2010),
MPhil. Joint with Dave Stephens.

With Dave, we helped Mike through his MPhil, after
many years of trying. Mike is now a software consultant/research associate in
London.

__Contact__

Office 04-02, 6 Science Drive 2,

Department of Statistics and Applied
Probability, S16

National University of Singapore, 117546

Email: stajaATnus.edu.sg (replace AT
with @)