Identification of piecewise affine hybrid systems is not an easy task since both the parameters determining the discrete modes and the submodels parameters have to be obtained, leading to a non-convex combinatorial optimisation problem. One way around this problem is to solve it in two steps. This work presents an approach for simultaneously estimating the parameters for PieceWise Autoregressive eXogeneous and PieceWise Output Error models. This is accomplished by using evolutionary algorithms for finding the parameters of the discrete modes (Gaussian mixture models) and employing the proposed weighted and extended least squares algorithm to estimate the ARX or ARMAX submodels. The main advantages of the proposed algorithm are: (i) it can be applied to output error models - which correspond to system with measurement noise, (ii) it is less likely to get trapped in local minima and (iii) it is applicable to problems with large datasets. The proposed approach, which is offline, was validated using simulated and experimental data and was compared with another method from the literature. In the case of an experimental plant, parsimonious models with good performance in both dynamic and static regimes were obtained.
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