rho adds exactly across mechanisms, and converts as \(\epsilon = \rho + 2\sqrt{\rho\log(1/\delta)}\).
Details
The \(\sqrt k\) growth that advanced composition has to buy with a union bound comes FREE here, because rho is additive and the square root appears only once in the conversion. That is the reason to account in zCDP.
What zCDP cannot do is represent pure epsilon-DP: the Laplace mechanism has unbounded Renyi divergence at large orders and no finite rho exists for it.
References
Bun, M. and Steinke, T. (2016). Concentrated differential privacy: simplifications, extensions, and lower bounds. TCC, 635-658.
Examples
round(morie_cdp_subgaussian_amplification(0.01, 100)$epsilon, 4)
#> [1] 7.7861
