For a convex function and points ,
More generally, deriving from variance and expectation,
For concave function,
References:
- https://www.chrismusco.com/amlds2023/lectures/lec8_annotated.pdf
- https://www.probabilitycourse.com/chapter6/6_2_5_jensen's_inequality.php
- https://mathworld.wolfram.com/JensensInequality.html