AI research at Microsoft Research Asia will be introduced, including machine learning, computer vision, natural language processing, knowledge mining and urban computing based on big data. Specifically, I will share our research on developing new learning algorithms and distributed machine learning platform for training very big models on big data based on heterogeneous hardware (e.g. CPU, GPU and FPGA cluster). In addition to deep learning, we are also working on knowledge mining and symbolic learning that integrates facts, common sense, and logic rules in a unified knowledge representation for machine comprehension of text. I will introduce these research works and show how they have been used to build artificially intelligent and socially engaging conversational agents such as XiaoIce and Microsoft's Cognitive Services.