  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.
