In this paper, we propose a novel switched model predictive control (MPC) algorithm for nonlinear continuous-time systems, where we switch between different cost functionals in order to enhance performance. Thus, different performance criteria can be taken into account. In order to ensure stability of the resulting closed-loop system, we consider switching signals which exhibit a certain average dwell-time. When considering switching signals of this type, certain assumptions are common in the switched systems literature in order to ensure stability, like a matching condition for the different Lyapunov functions and the possibility to find Lyapunov functions with an exponential decay rate. In this paper, we show how these assumptions can be satisfied in the MPC context and thus stability of the proposed switched MPC algorithm can be established. (C) 2011 Elsevier Ltd. All rights reserved.