# Dr Anthony Lee

### Assistant Professor

From 2011--2013, I was a CRiSM Research Fellow at the University of Warwick.

I am Course Director for the BSc Data Science degree.

I am an associate member of the Oxford-Man Institute of Quantitative Finance.

I am co-organizing Algorithms & Computationally Intensive Inference, an informal reading/discussion group.

If you are interested in links between machine learning and computational statistics in the UK, please check out the Network on Computational Statistics and Machine Learning.

### Teaching

2014/15: ST340: Programming for Data Science with Ben Graham.

2014/15: OxWasp: Stochastic Simulation with Arnaud Doucet.

2013/14: ST340: Programming for Data Science with Ben Graham.

2012/13: ST414: Advanced Topics in Statistics.

### Office hours

During term these are in C0.16 on

Monday: 4.30pm--5.30pm, and

Friday: 3.30pm--4.30pm.

Outside of term, please email me at anthony.lee [at] warwick.ac.uk to arrange an appointment. If you need to speak to me urgently or are unable to make one of these times for any reason then please email me and I will try to make alternative arrangements.

**Personal tutees**: please book a time to see me on Monday, 28th April (11am--6pm).

### Research Interests

Monte Carlo Methodology

Computational Statistics

Bayesian Inference

### Graduate Students

Felipe Medina Aguayo. Co-supervised with Gareth Roberts.

Pieralberto Guarniero. Co-supervised with Adam Johansen.

### Publications

A. Lee, A. Doucet, K. Łatuszyński. Perfect simulation using atomic regeneration with application to Sequential Monte Carlo.

A. Lee, N. Whiteley. Forest resampling for distributed sequential Monte Carlo.

C. Drovandi, A. N. Pettitt, A. Lee. Bayesian indirect inference using a parametric auxiliary model. Statistical Science, to appear. [Tech Report]

C. Andrieu, A. Lee & M. Vihola. Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers.

N. Whiteley, A. Lee & K. Heine. On the role of interaction in sequential Monte Carlo algorithms. Bernoulli, to appear. [arXiv 1309.2918]

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

A. Lee & K. Łatuszyński. Variance bounding and geometric ergodicity of Markov chain Monte Carlo kernels for approximate Bayesian computation. Supplementary material. Biometrika, to appear. [arXiv 1210.6703]

N. Whiteley & A. Lee. Twisted particle filters. Supplementary material. Annals of Statistics 42(1), 2014. [arXiv 1210.0220]

L. M. Murray, A. Lee & P. E. Jacob. Parallel resampling in the particle filter.

P. Del Moral, P. E. Jacob, A. Lee, L. Murray & G. W. Peters. Feynman-Kac particle integration with geometric interacting jumps. Stochastic Analysis and Applications 31(5), 2013 [arXiv 1211.7191].

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 & 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 & C. Holmes. A hierarchical Bayesian framework for constructing sparsity-inducing priors.

A. Lee, C. Yau, M. Giles, A. Doucet & 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.

A. Lee. Towards smooth particle filters for likelihood estimation with multivariate latent variables. M.Sc. Thesis, UBC, 2008.

### Talks

04/14: Advanced Monte Carlo Methods for Complex Inference Problems, Isaac Newton Institute, Cambridge.

03/14: i-like Workshop, University of Oxford.

03/14: Applied Mathematics Seminar, University of Leicester.

03/14: Advances in Scalable Bayesian Computation, BIRS workshop, Banff.

01/14: Statistics Seminar, Newcastle University.

01/14: Statistics Seminar, University of Cambridge.

01/14: MCMSki IV, Chamonix.

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.

### Contact Details

Room C0.16

Department of Statistics

University of Warwick

Coventry CV4 7AL

Phone: +44 2476 150042

Fax: +44 2476 524532

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