The 81-year-old filmmaker, who is an ardent lover of the R&B and jazz music, has not revealed any details about the musical compositions he is set to present at the show, reported The Independent.
The venue's website says that the performance will be an "energetic collection of improvisations" and that there will be "no playlist, nor do the musicians know what song Allen, in collaboration with band director Eddy Davis, will call out next".
Allen, renowned for playing the clarinet, often plays with the band in New York, and they performed together at UK's Eventim Apollo in 2004.