Dr Anthony Lee
CRiSM Research Fellow
I am co-organizing the CRiSM seminar series and the Algorithms & Computationally Intensive Inference seminar series.
I am teaching 1/3 of ST414: Advanced Topics in Statistics.
Research Interests
Monte Carlo Methodology
Computational Statistics
Bayesian Inference
Publications
A. Jasra, A. Lee, C. Yau, X. Zhang. The alive particle filter. Submitted.
A. Lee, K. Łatuszyński. Variance bounding and geometric ergodicity of Markov chain Monte Carlo kernels for approximate Bayesian computation. Submitted.
N. Whiteley, A. Lee. Twisted particle filters. Submitted. A better version here, with proofs here.
L. M. Murray, A. Lee & P. E. Jacob. Rethinking resampling in the particle filter on graphics processing units. Submitted.
P. Del Moral, P. E. Jacob, A. Lee, L. Murray & G. W. Peters. Feynman-Kac particle integration with geometric interacting jumps.
A. Lee. On the choice of MCMC kernels for approximate Bayesian computation with SMC samplers. WSC, 2012.
B. C. May, N. Korda, A. Lee, D. Leslie. Optimistic Bayesian sampling in contextual-bandit problems. JMLR 13(Jun) 2012.
A. Lee, C. Andrieu, A. Doucet. Two discussions of Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation by P. Fearnhead and D. Prangle. JRSS B 74(3), 2012.
A. Lee, F. Caron, A. Doucet and C. Holmes. Bayesian sparsity-path-analysis of genetic association signal using generalized t priors. Statistical Applications in Genetics and Molecular Biology 11(2), 2012 [arXiv 1106.0322].
A. Lee, F. Caron, A. Doucet and C. Holmes. A hierarchical Bayesian framework for constructing sparsity-inducing priors.
A. Lee, C. Yau, M. Giles, A. Doucet and C. Holmes. On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods. JCGS 19(4), 2010 [arXiv 0905.2441]. Related Website.
A. Lee, C. Holmes. Discussion of Particle Markov chain Monte Carlo methods by C. Andrieu, A. Doucet and R. Holenstein. JRSS B 72(3), 2010.
M.Sc. Thesis, UBC (2008). Towards smooth particle filters for likelihood estimation with multivariate latent variables.
Talks
09/13: RSS Int'l Conference 2013, Newcastle.
08/13: Joint Statistical Meeting 2013, Montreal.
07/13: European Meeting of Statisticians, Budapest.
05/13: ABC in Rome.
04/13: Compstats Talk, Lancaster University.
01/13: Statistics Seminar, National University of Singapore.
12/12: Winter Simulation Conference 2012, Berlin.
12/12: ERCIM 2012, Oviedo.
10/12: Statistics Seminar, University of Glasgow.
09/12: RSS Int'l Conference 2012, Telford.
07/12: CMIS Seminar, Perth.
06/12: ISBA 2012, Kyoto.
04/12: Statistics Seminar, University of Bristol.
04/12: Confronting Intractability in Statistical Inference, University of Bristol.
03/12: Statistics Seminar, University of Kent.
02/12: OeRC GPU Seminar, Unviersity of Oxford.
02/12: Recent Advances in Monte Carlo Methods, Royal Statistical Society.
01/12: Introduction, GPUs in Computational Statistics, University of Warwick.
Contact Details
Room D0.01
Department of Statistics
University of Warwick
Coventry
CV4 7AL
anthony.lee [at] warwick.ac.uk
Education
D. Phil. (2011)
Statistics
University of Oxford
M. Sc. (2008)
Computer Science
University of British Columbia
B. Sc. (2006)
Computer Science
University of British Columbia
