Here are some references that we'll use for EM algorithm. The first is Professor Andrew Ng's notes on EM from Stanford course cs229. Here's a link to Professor Ng's notes: cs229-notes7b.pdf Here's a short tutorial by Sean Borman that discusses the technique in general and nature of its convergence. EM_algorithm.pdf . Here is another tutorial from Jeff Blimes at Berkeley: 10.1.1.38.4498-1.pdf