Abstract
This letter proposes a simple heuristic to identify the discrete-time switched autoregressive exogenous (SARX) systems. The goal of the identification is to identify the switching sequence and the system parameters of all submodels simultaneously. In this letter the SARX system identification problem is formulated as the l0 norm minimization problem, and an iterative algorithm is proposed by applying the reweighted least squares technique. Although the proposed algorithm is heuristic, the numerical examples show its efficiency and robustness for noise.
