Uncertainty quantification via codimension‐one partitioning

We consider uncertainty quantification in the context of certification, i.e. showing that the probability of some ‘failure’ event is acceptably small. In this paper, we derive a new method for rigorous uncertainty quantification and conservative certification by combining McDiarmid's inequality with input domain partitioning and a new concentration‐of‐measure inequality. We show that arbitrarily sharp upper bounds on the probability of failure can be obtained by partitioning the input parameter space appropriately; in contrast, the bound provided by McDiarmid's inequality is usually not sharp. We prove an error estimate for the method (Proposition 3.2); we define a codimension‐one recursive partitioning scheme and prove its convergence properties (Theorem 4.1); finally, we apply a new concentration‐of‐measure inequality to give confidence levels when empirical means are used in place of exact ones (Section 5). Copyright © 2010 John Wiley & Sons, Ltd.