Machine life cycle performance assessment is of great significance to use a health index to inform the time of incipient fault initiation in a normal stage and realize fault identification and fault trending in a performance degradation stage. However, most existing works consider using unexplainable model parameters and historical data to build models and infer their off-line parameters for machine life cycle performance assessment. To overcome these limitations, an online piecewise convex-optimization interpretable weight learning framework without needing any historical abnormal and faulty data is proposed in this article to generate a piecewise health index to practically implement machine life cycle performance assessment. Firstly, based on a separation criterion, the first submodel in the proposed framework is built to detect the time of incipient fault initiation. Here, the piecewise health index generated by the first submodel is continuously updated by on-line monitoring data to timely detect the occurrence of any abnormal health conditions. Secondly, once the time of incipient fault initiation is informed, online updated model weights are highly correlated with fault characteristic frequencies and informative frequency bands for immediate fault identification. Simultaneously, the second submodel integrated with monotonicity and fitness properties in the proposed framework is triggered to generate the piecewise health index to realize overall monotonic fault trending. The significance of this article is that only online monitoring data are used to continuously update interpretable model weights as fault frequencies and informative frequency bands to generate the proposed piecewise health index so as to practically realize machine life cycle performance assessment. Two run-to-failure cases are studied to show the effectiveness and superiority of the proposed framework.