State Estimation for Piecewise Affine State-Space Models

We propose a filter for piecewise affine state-space (PWASS) models. In each filtering recursion, the true filtering posterior distribution is a mixture of truncated normal distributions. The proposed filter approximates the mixture with a single normal distribution via moment matching. The proposed algorithm is compared with the extended Kalman filter (EKF) in a numerical simulation where the proposed method obtains, on average, better root mean square error (RMSE) than the EKF.