Split given string and prepare case statement

Clean setup:

CREATE TABLE tbl (
  given_date date
, set_name varchar
);

Use a singular term as column name for a single value.
The data type is obviously date and not a timestamp.

To transform your text parameters into a useful table:

SELECT unnest(string_to_array('2001-01-01to2001-01-05,2001-01-10to2001-01-15', ',')) AS date_range
     , unnest(string_to_array('s1,s2', ',')) AS set_name;

“Parallel unnest” is handy but has its caveats. Postgres 9.4 adds a clean solution, Postgres 10 eventually sanitized the behavior of this. See below.

Dynamic execution

Prepared statement

Prepared statements are only visible to the creating session and die with it. Per documentation:

Prepared statements only last for the duration of the current database session.

PREPARE once per session:

PREPARE upd_tbl AS
UPDATE tbl t
SET    set_name = s.set_name
FROM  (
   SELECT unnest(string_to_array($1, ',')) AS date_range
        , unnest(string_to_array($2, ',')) AS set_name
   ) s
WHERE t.given_date BETWEEN split_part(date_range, 'to', 1)::date
                       AND split_part(date_range, 'to', 2)::date;

Or use tools provided by your client to prepare the statement.
Execute n times with arbitrary parameters:

EXECUTE upd_tbl('2001-01-01to2001-01-05,2001-01-10to2001-01-15', 's1,s4');

Server-side function

Functions are persisted and visible to all sessions.

CREATE FUNCTION once:

CREATE OR REPLACE FUNCTION f_upd_tbl(_date_ranges text, _names text)
  RETURNS void AS
$func$
UPDATE tbl t
SET    set_name = s.set_name
FROM  (
   SELECT unnest(string_to_array($1, ',')) AS date_range
        , unnest(string_to_array($2, ',')) AS set_name
   ) s
WHERE  t.given_date BETWEEN split_part(date_range, 'to', 1)::date
                        AND split_part(date_range, 'to', 2)::date
$func$  LANGUAGE sql;

Call n times:

SELECT f_upd_tbl('2001-01-01to2001-01-05,2001-01-20to2001-01-25', 's2,s5');

SQL Fiddle

Superior design

Use array parameters (can still be provided as string literals), a daterange type (both pg 9.3) and the new parallel unnest() (pg 9.4).

CREATE OR REPLACE FUNCTION f_upd_tbl(_dr daterange[], _n text[])
  RETURNS void AS
$func$
UPDATE tbl t
SET    set_name = s.set_name
FROM   unnest($1, $2) s(date_range, set_name)
WHERE  t.given_date <@ s.date_range
$func$  LANGUAGE sql;

<@ being the “element is contained by” operator.

Call:

SELECT f_upd_tbl('{"[2001-01-01,2001-01-05]"
                  ,"[2001-01-20,2001-01-25]"}', '{s2,s5}');

Details:

• Unnest multiple arrays in parallel