Riccati Equation and EM Algorithm Convergence for Inertial Navigation Alignment

This correspondence investigates the convergence of a Kalman filter-based expectation-maximization (EM) algorithm for estimating variances. It is shown that if the variance estimates and the error covariances are initialized appropriately, the underlying Riccati equation solution and the sequence of iterations will be monotonically nonincreasing. Further, the process noise variance estimates converge to the actual values when the measurement noise becomes negligibly small. Conversely, when the process noise variance becomes negligible, the measurement noise variance estimates asymptotically approach the true values. An inertial navigation application is discussed in which performance depends on accurately estimating the process variances.