Dominic Van Allen, 47, is reported to have gone missing around 11.30am on Thursday, October 15, while serving a five-year sentence imposed at Blackfriars Crown Court on 16 August 2019 for unlawful possession of a firearm, police said.
He is described as 5ft 10in, of medium build, with brown eyes and ginger cropped hair.
Van Allen has links to West London and North London and enquiries to trace him there are being made by the Metropolitan Police.
Anyone who sees him is advised not to approach him, but to dial 999 immediately, quoting Sussex serial 983 of 15/10.
You can also contact the independent charity Crimestoppers anonymously on 0800 555 111 or report it to them online.