The ordeal began Sunday in Orlando when police responded to a report of domestic violence at an apartment and one of the officers was shot. That officer remains in critical condition.
The gunman remained holed up in the apartment overnight and all day Monday with the children, who were aged one, six, 10 and 11.
"A short time ago we made entry into the apartment and found that all four children have been killed by the suspect by apparent gunshot wounds," Orlando police chief John Mina told a news conference just before midnight.
"It appears the suspect took his own life as well," Mina added.
Police stayed in contact with the gunman throughout the day.
The gunman's phone had sporadic service, and police tried to offer him one of their phones.
It said the gunman has been identified as Gary Lindsey, 35, and that he was a felon on probation for arson and other offenses.
Two of the children were believed to be his and other two were of the woman who reported Lindsey for hitting her, the paper said.
That woman called police after fleeing the apartment Sunday night.
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