Convergence Rates for Stochastic Proximal and Projection Estimators

In this paper, we establish explicit convergence rates for the stochastic smooth approximations of infimal convolutions introduced and developed in \cite{MR4581306,MR4923371}. In particular, we quantify the convergence of the associated barycentric estimators toward proximal mappings and metric projections. We prove a dimension-explicit $\sqrt{\delta}$ bound, with explicit constants for the proximal mapping, in the $\rho$-weakly convex (possibly nonsmooth) setting, and we also obtain a dimension-explicit $\sqrt{\delta}$ rate for the metric projection onto an arbitrary convex set with nonempty interior. Under additional regularity, namely $C^{2}$ smoothness with globally Lipschitz Hessian, we derive an improved linear $O(\delta)$ rate with explicit constants, and we obtain refined projection estimates for convex sets with local $C^{2,1}$ boundary. Examples demonstrate that these rates are optimal.