A method for computing invariant sets of piecewise affine systems is presented. The method is based on convex optimization techniques and linear matrix inequalities. We show how to compute invariant ellipsoids, quadratic cones, and paraboloids for affine systems which contain initial sets of different form such as polytopes, ellipsoids, and degenerate ellipsoids. An invariant set for a piecewise affine system can be computed by an iterative procedure that utilizes these types of computations.