  We describe a new framework for fitting jump models to a sequence of data.
The key idea is to alternate between minimizing a loss function to fit multiple
model parameters, and minimizing a discrete loss function to determine which
set of model parameters is active at each data point. The framework is quite
general and encompasses popular classes of models, such as hidden Markov models
and piecewise affine models. The shape of the chosen loss functions to minimize
determine the shape of the resulting jump model.
