No matter how many iterations one makes, the bad solution
will never converge to the correct. But there is a method
that is usually successful in nudging a solution away from
a bad stationary point. This we call *annealing*
and is done by expanding the covariance matrices of the
PDF estimates and by pushing the state transition
matrix and prior state probabilities closer
to ``uniform". The utility `software/ann_hmm.m` does this. Attempt to find a ``bad" stationary
point by re-running the above sequence
until one is found. Next, use the commands
parm=ann_hmm(parm,2,1.2);
[log_pdf_val, parm] = hmm_reest(parm, x, istart, nsamp, NIT);
hmm_view(parm,x,1,2);

This should correct the problem. Try it to
satisfy yourself that it works. The second argument
is the expansion factor for Cholesky factors of
the covariance matrices and the third
is a parameters greater than 1.0 that determines how much
the state transition matrix is annealed.

Baggenstoss
2017-05-19