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.

 

Affiliations:

 

06/2014-: Centre for Quantitative Finance, NUS.

09/2013-: Stochastic Analysis Group, Imperial.

06/2013-: Risk Management Institute, NUS.

 

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 1 Grant: `Exact and Approximate Computation for High-Dimensional Systems’ (PI), 2015-2017, S$56000.

AcRF Tier 2 Grant: `Approximate Methods for High-Dimensional Systems’ (Co-PI with Nott), 2014-2016, S$572820.

EPSRC Grant: `Advanced Stochastic Computation Trees’ (Visitor with De Iorio, et al), 2013-2016, £401382.

MOE Grant: `Approximate and High-Dimensional Filtering’ (PI), 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 (43)

 

(2015) Zhang, L, Wang, S., Karimi, H. R. & Jasra A. Robust finite-time control of delayed systems. IEEE/ASME TMech. (to appear).

 

(2015) Persing, A., Jasra A., Beskos A., Balding D. & De Iorio M. An approach for change-points on trees. J. Comp. Biol. (to appear). arXiv.

 

(2015) Wang, S., Shi, T., Zhang, L., Jasra, A., Zeng, M. Extended H-infty finite time control. Neurocomp. (to appear).

 

(2015) Persing A. & Jasra A. Twisting the alive particle filter. Meth. Comp. Appl. Probab. (to appear). arXiv.

 

(2015) Wang J. & Jasra A. Monte Carlo algorithms for computing alpha-permanents. Stat. Comp. (to appear). Preliminary.

 

(2015) Yildirim, S., Singh S. S., Dean T., & Jasra A. Parameter estimation in HMMs with intractable likelihoods via SMC. JCGS (to appear). arXiv.

 

(2015) Jasra, A. On the behaviour of the backward Feynman-Kac formula. J. Appl. Probab. (to appear). arXiv.

 

(2015) Ehrlich, E., Jasra, A., & Kantas, N. Gradient free parameter estimation for intractable HMMs. Meth. Comp. Appl. Probab. (to appear). arXiv.

 

(2014) Dean, T., Singh, S., Jasra, A. & Peters, G. Estimation of HMMs with Intractable Likelihoods. Scand. J. Statist, 41, 970-987. arXiv.

 

(2014) Zhang, X., Nott, D., Yau, C. & Jasra, A. A sequential algorithm for fast fitting of mixtures. JCGS, 23, 1143-1162. 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) 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 inferenceStat. 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 (8)

 

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

 

(2014) Beskos, A., Jasra, A., Muzaffer, E. & Stuart, A. SMC for elliptic inverse problems.

 

(2014) Beskos, A., Crisan, D., Jasra, A., Kamatani, K. & Zhou, Y. A stable particle filter in high dimensions.

 

(2014) Chan, H. P., Del Moral, P. & Jasra A. First order analysis of F-K models.

 

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

 

(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 3rd NUS R^2 Workshop (SG).

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

12/14 Greek Stochastics (GR).

12/14 UCL (UK).

11/14 RMI NUS (SG).

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.

Kengo Kamatani (Osaka, Engineering).

Nikolas Kantas (Imperial, Mathematics).

Hamid Reza Karimi (Agder, Engineering).

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.

Andrew Stuart (Warwick, Mathematics).

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).

 

Code

 

Code from Del Moral, Doucet & J (2012) (section 4.2) is here.

Code from J & Del Moral (2011) (section 4) is here.

 

Teaching

 

ST5219 Bayesian hierarchical modelling.

 

Notes

 

A correction to the Gibbs sampler written in lectures is here.

 

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

Assessment 2: Sheet, to be handed in by Friday 7th November, 10pm.

 

Non-assessed Problem Sheets:

 

Sheet 1

Sheet 2

Sheet 3

 

Solutions:

 

Sheet 1

Sheet 2

Sheet 3

 

R Sheets:

 

Sheet 1

Sheet 2

Sheet 3

Sheet 4

 

ST2334 Probability and Statistics.

 

Notes

 

Additional Notes:

 

Bayes Theorem

Binomial Distribution

Conditional Expectations 1

Conditional Expectations 2

Continuous Distributions

Geometric Distribution

Integration

Joint Expectations

Joint Probability Distributions

 

Non-assessed Problem Sheets:

 

Sheet 1

Sheet 2

Sheet 3

Sheet 4

Sheet 5

Sheet 6

Sheet 7

Sheet 8

Sheet 9

Sheet 10

 

 

Postdocs

 

Current:

All postdocs based at DSAP NUS.

 

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.

 

Past:

 

Adam Persing (Oct 2013-Dec 2014, UCL). Joint with Maria De Iorio, Alex Beskos and David Balding.

Pierre Jacob (Oct 2012-Oct 2013, DSAP NUS).

 

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.

 

Past:

All students obtained a PhD unless otherwise stated and were based

at the Department of Mathematics, Imperial College London.

 

Shun Wang (2013-2014, 14 months). Shun was a visiting PhD student on a CSC scholarship. His home university is Harbin Inst. Technology

and his main advisor is Lixian Zhang.

 

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 industrial research in New Jersey, completing his PhD in 2 years.

 

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

Elly now works in finance in Switzerland. 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 @)

 

 

 

 

 

 

 

 

 

 

 

 

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