What is the correct mathematical expression for computing Jensen-Shannon divergence ($JSD$) between multiple probability distributions?
I found the following expression on Wikipedia, but I did not find any official reference:
where $H$ is the Shannon-entropy.
- What is the intuition of divergence in multiple distribution case?
- In the case of two univariate distributions $P$ & $Q$, it was interpreted as a distance between them $JSD(P||Q)$. So in the multi-distribution case, is it measuring the distance between two multivariate distributions?
- Is there an efficient Python code available for it?