This article presents a switched model predictive control (MPC) algorithm for non-linear discrete time systems where the weights on the state and control variables in the cost function to be minimised depend on the current value of the state. In so doing, with a reduced computational burden one can easily include, in the problem formulation, a number of control specifications, such as the requirement to avoid critical regions in the state space or to reduce as much as possible the use of some actuators in other zones of the state space. The proposed MPC method has stability properties and is applied for control of a thermal system. The reported simulation results witness its favourable characteristics with respect to a standard MPC implementation.