In order to achieve continuous navigation capability in areas such as tunnels, urban canyons, and indoors a new approach using least squares support vector machine (LS-SVM) and H∞ filter (HF) for integration of INS/WSN is proposed. In the integrated system, HF estimates the errors of position and velocity while the signals in WSNs are available. Meanwhile, the compensation model is trained by LS-SVM with corresponding HF states. Once outages of the signals in WSNs, the model is used to correct INS solution as HF does. Moreover, due to device reasons, there are slight fluctuations in sampling period in practice. For overcoming this problem of integrated navigation, the theoretical analysis and implementation of HF for an integrated navigation system with stochastic uncertainty are also given. Simulation shows the performance of HF is more robust compared with INS-only solution and Kalman filter (KF) solution, and the prediction of LS-SVM has the smallest error compared with INS-only and back propagation (BP), the improvement is particularly obvious.