Hidden Markov Models (HMMs) are probabilistic models widely used in applications in computational sequence analysis. HMMs are basically unsupervised models. However, in the most important applications, they are trained in a supervised manner. Training examples accompanied by labels corresponding to different classes are given as input and the set of parameters that maximize the joint probability of sequences and labels is estimated. A main problem with this approach is that, in the majority of the cases, labels are hard to find and thus the amount of training data is limited. On the other hand, there are plenty of unclassified (unlabeled) sequences deposited in the public databases that could potentially contribute to the training procedure. This approach is called semi-supervised learning and could be very helpful in many applications.