Divergence measures play a central role in machine learning and become increasingly essential in deep learning. However, valid and computationally efficient divergence measures for multiple (more than two) distributions are scarcely investigated. This becomes particularly crucial in areas where the simultaneous management of multiple distributions is both unavoidable and essential. Examples include clustering, multi-source domain adaptation or generalization, and multi-view learning, among others. Although calculating the mean of pairwise distances between any two distributions serves as a common way to quantify the total divergence among multiple distributions, it is crucial to acknowledge that this approach is not straightforward and requires significant computational resources. In this study, we introduce a new divergence measure for multiple distributions named the generalized Cauchy-Schwarz divergence (GCSD), which is inspired by the classic Cauchy-Schwarz divergence. Additionally, we provide a closed-form sample estimator based on kernel density estimation, making it convenient and straightforward to use in various machine-learning applications. Finally, we apply the proposed GCSD to two challenging machine learning tasks, namely deep learning-based clustering and the problem of multi-source domain adaptation. The experimental results showcase the impressive performance of GCSD in both tasks, highlighting its potential application in machine-learning areas that involve quantifying multiple distributions.

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