A ADDITIONAL PROOFS 470 A.1 Proof of Lemma 1 (strongly convex case)

The major part of the proof is adapted from Muzellec et al. [ 2021, Lemma 3.1]. In bold, the highest accuracy after being calibrated with the semi-dual. Quadratic Problem and can be numerically solved with CVXPY for instance. Ax b K, with K a fixed cone to be compiled only once. SSNB The strong convexity parameter l is chosen in { 0 .