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.
@article{arxiv.1609.00365,
title = {State Estimation for Piecewise Affine State-Space Models},
author = {Rafael Rui and Tohid Ardeshiri and Henri Nurminen and Alexandre Bazanella and Fredrik Gustafsson},
journal= {arXiv preprint arXiv:1609.00365},
year = {2017}
}