[kxyvr]

A convex function is a function that is bowl shaped such a parabola, `x^2`. If you take two points and connect them with a straight line, then Jensen's inequality tells you that the function lies below this straight line. Basically, `f(cx+(1-c)y) <= c f(x) + (1-c) f(y)` for `0<=c<=1`. The expression `cx+(1-c)y` provides a way to move between a point `x` and a point `y`. The expression on the left of the inequality is the evaluation of the function along this line. The expression on the right is the straight line connecting the two points.

There are a bunch of generalizations to this. It works for any convex combination of points. A convex combination of points is a weighted sum of points where the weights are positive and add to 1. If one is careful, eventually this can become an infinite convex combination of points, which means that the inequality holds with integrals.

In my opinion, the wiki article is not well written.