FYI, I implemented the forward algorithm using theano.scan, notebook here: https://github.com/junpenglao/Planet_Sakaar_Data_Science/blob/master/PyMC3QnA/discourse_2230.ipynb
Observation:
- unsupervised model is super unidentifiable
- semi-supervised model seems to perform quite well
@nmrobert, do you see similar result in Stan?