Implement and validate the derivative-first ("red path") Jacobian aggregation to improve scaling
Implement and empirically validate the derivative-first Jacobian aggregation approach for the marginal price algorithm, verifying that it achieves the predicted O(N) complexity with respect to the number of curves and removes the observed O(N·K^2) dependence on the number of tokens seen in the current implementation.
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References
We have not at this stage been able to prove this by implementing the red path algorithm, for the reasons discussed above at the beginning of section \ref{sec:interlude}.
— Marginal Price Optimization
(2502.08258 - Loesch et al., 12 Feb 2025) in Section 6.3, Mathematical interlude