 Jensen gap

The Jensen gap is the nonnegative difference $\mathbb{E}[f(X)]-f(\mathbb{E}X)$ in Jensen's inequality, under its integrability assumptions. It quantifies how much applying a convex function before averaging differs from applying it afterward. For $f(x)=x^2$ it is the variance of $X$; for an affine function it is zero. For general convex functions, it depends on both the function and the distribution of $X$, and is not determined by the variance alone.