Professor Arnaud Doucet

Professor of Statistics

Biographical Sketch

I obtained my PhD from the University of Paris XI (Orsay) in 1997. I previously held academic positions at Cambridge University, Melbourne University, The Institute of Statistical Mathematics in Tokyo and the University of British Columbia where I was a Canada Research Chair in Stochastic Computation.

Research Interests

  • Bayesian statistics
  • Stochastic simulations
  • Sequential Monte Carlo
  • Markov chain Monte Carlo
  • Time series

I am primarily interested in the development and study of novel Monte Carlo methods for inference in complex stochastic models.

Publications

Jasra, A., Doucet, A., Stephens, D. and Holmes, C. (2008) “Interacting sequential Monte Carlo samplers for trans-dimensional simulation”, Computational Statistics & Data Analysis, 52(4), pp. 1765–1791.
Caron, F., Davy, M. and Doucet, A. (2007) “Generalized polya urn for time-varying dirichlet process mixtures”, in Proceedings of the 23rd Conference on Uncertainty in Artificial Intelligence, UAI 2007, pp. 33–40.
Tadiű, V. and Doucet, A. (2007) “A Monte Carlo Algorithm for Optimal Quantization in Hidden Markov Models”, pp. 1121–1125.
Singh, S., Kantas, N., Vo, B.-N., Doucet, A. and Evans, R. (2007) “Simulation-based optimal sensor scheduling with application to observer trajectory planning”, Automatica, 43(5), pp. 817–830.
Peters, G., Johansen, A. and Doucet, A. (2007) “Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation”, The Journal of Operational Risk, 2(3), pp. 29–58.
Del Moral, P., Doucet, A. and Peters, G. (2007) “Sharp propagation of chaos estimates for Feynman-Kac particle models”, THEORY OF PROBABILITY AND ITS APPLICATIONS, 51(3), pp. 459–485.
Singh, S., Tadic, V. and Doucet, A. (2007) “A policy gradient method for semi-Markov decision processes with application to call admission control”, in EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, pp. 808–818.
Hill, S. and Doucet, A. (2007) “A Framework for Kernel-Based Multi-Category Classification”, Journal of Artificial Intelligence Research, 30, pp. 525–564.
Ghosh, A., Doucet, A. and Heidrich, W. (2006) “Sequential sampling for dynamic environment maps”, ACM SIGGRAPH 2006: Sketches, SIGGRAPH ’06 [Preprint].
Klaas, M., Briers, M., De Freitas, N., Doucet, A., Maskell, S. and Lang, D. (2006) “Fast particle smoothing: If I had a million particles”, ICML 2006 - Proceedings of the 23rd International Conference on Machine Learning, 2006, pp. 481–488.

Contact Details

College affiliation: Fellow at Hertford College

Email:  doucet@stats.ox.ac.uk

Telephone: +44(0)1865 285368

Office number: 1.09

PA:  Lauren Haynes

Graduate Students

Joe Benton

Andrew Campbell

Amitis Shidani

Eugenio Clerico

Guneet Singh Dhillon

Research Groups

Computational Statistics and Machine Learning

Statistical Theory and Methodology