It will be a hattrick for Allen as he has already opened the festival twice -- in 2002 with "Hollywood Ending" and in 2011 with "Midnight in Paris".
The film, whose release in France coincides with the screening, is an official selection but out of competition title.
The movie tells the story of a young man who arrives in Hollywood during the 1930s hoping to work in the film industry. He falls in love and finds himself swept up in the vibrant cafe society that defined the spirit of the age.
Woody Allen also joined forces with Vittorio Storaro for the film. The eminent director of photography was a member of the Feature Film jury in 1991 and is a three-time Oscar winner for "Apocalypse Now" by Francis Ford Coppola in 1980, "Reds" by Warren Beatty in 1982, and "The Last Emperor" by Bernardo Bertolucci in 1988.
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From "Manhattan" in 1979 to "Irrational Man" in 2015, this will be the 14th out of competition selection at Cannes for Allen.
A prolific film-maker for the past forty years, directing virtually a film a year since the 1970s, Allen is also a jazz clarinettist.
The festival runs from May 11 to 22 with George Miller presiding over the competition jury.