Flexible Least Squares Algorithm for Switching Models

Algorithm 1

FRLS algorithm.

(i)	Initialise, is a vector whose
(ii)	entries all equal to 1, and assign a positive constant
(iii)	repeat
(iv)	for, do
(v)	Collect the input-output data
(vi)	Form
(vii)	Compute
(viii)	Compute
(ix)	Update
(x)	end
(xi)	until convergence