This paper develops methods for state estimation of aggregated thermostatically controlled loads (TCLs) in smart grids, via partial differential equation (PDE) techniques. TCLs include on/off controlled devices, such as heat pumps, HVAC systems, and deep freezers. Control of aggregated TCLs provides a promising opportunity to mitigate the mismatch between power generation and demand, thus enhancing grid reliability and enabling renewable energy penetration. However, persistent communication between thousands of TCLs to a central server can be prohibitive. To this end, this paper focuses on...