I taught myself Dirichlet processes and Hierarchal DPs in the spring of 2015 in order to understand nonparametric Bayesian models and related inference algorithms. In the process, I wrote a bunch of code and took a bunch of notes; later, I turned these into blog posts.

• Dirichlet Distribution and Dirichlet Processes: A quick review of the Dirichlet Distribution and an introduction to the Dirichlet Process by analogy with the Dirichlet Distribution.
• Sampling from a Hierarchical Dirichlet Process: Code demonstrating how you can sample from a Hierarchical Dirichlet Process without generating an infinite number of parameters first.
• Nonparametric Latent Dirichlet Allocation: An alternative view of latent Dirichlet allocation using a Dirichlet process, and a demonstration of how it can be easily extended to a nonparametric model (where the number of topics becomes a random variable fit by the inference algorithm) using a hierarchical Dirichlet process.
• Fitting a Mixture Model with Gibbs Sampling: Derivation of a full Gibbs sampler for a finite mixture model with a Dirichlet prior. This is a step on the way to deriving a Gibbs sampler for the Dirichlet Process Mixture Model.
• Notes on Gibbs Sampling in Hierarchal Dirichlet Process Models: Notes on apply the equations given in the Hierarchal Dirichlet Process paper to nonparametric Latent Dirichlet Allocation.

Part of the impetus for compiling these notes was how carelessly the term "Dirichlet process" seemed to be used in literature on nonparametric Bayesian models.

Although I thought I had come to the correct understanding (which is presented here), Dan Roy helpfully pointed out that I probably got it wrong given how Dirichlet Process is defined by Ferguson 1973. Ferguson's use of Dirichlet process does not make it a "distribution over distributions" as Neal, Teh, Jordan, and Blei call it. At best, I believe there is equivocation on the term "Dirichlet Process" in the NPB literature. At worst, there is wide scale confusion on what a Dirichlet process is!

At some point, I intend to write a post trying to explain the subtleties of this discussion. In the mean time, I would suggest that my posts will still be valuable in understanding the literature on nonparametric Bayes, even if it won't get you a Ph.D. in measure theory.