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Merge pull request #3356 from jkczyz/2024-10-inflight-scoring
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Don't over-penalize channels with inflight HTLCs
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@TheBlueMatt
TheBlueMatt authored Oct 19, 2024
2 parents 608209e + 0305000 commit 1e0f43f
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Showing 2 changed files with 50 additions and 37 deletions.
9 changes: 6 additions & 3 deletions lightning/src/routing/router.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -7357,7 +7357,7 @@ mod tests {
let decay_params = ProbabilisticScoringDecayParameters::default();
let scorer = ProbabilisticScorer::new(decay_params, &*network_graph, Arc::clone(&logger));

// Set the fee on channel 13 to 100% to match channel 4 giving us two equivalent paths (us
// Set the fee on channel 13 to 0% to match channel 4 giving us two equivalent paths (us
// -> node 7 -> node2 and us -> node 1 -> node 2) which we should balance over.
update_channel(&gossip_sync, &secp_ctx, &privkeys[1], UnsignedChannelUpdate {
chain_hash: ChainHash::using_genesis_block(Network::Testnet),
Expand Down Expand Up @@ -7392,9 +7392,12 @@ mod tests {
.unwrap();
let random_seed_bytes = [42; 32];

// 100,000 sats is less than the available liquidity on each channel, set above.
// 75,000 sats is less than the available liquidity on each channel, set above, when
// applying max_channel_saturation_power_of_half. This value also ensures the cost of paths
// considered when applying max_channel_saturation_power_of_half is less than the cost of
// those when it is not applied.
let route_params = RouteParameters::from_payment_params_and_value(
payment_params, 100_000_000);
payment_params, 75_000_000);
let route = get_route(&our_id, &route_params, &network_graph.read_only(), None,
Arc::clone(&logger), &scorer, &ProbabilisticScoringFeeParameters::default(), &random_seed_bytes).unwrap();
assert_eq!(route.paths.len(), 2);
Expand Down
78 changes: 44 additions & 34 deletions lightning/src/routing/scoring.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -491,13 +491,12 @@ pub struct ProbabilisticScoringFeeParameters {
/// Default value: 500 msat
pub base_penalty_msat: u64,

/// A multiplier used with the total amount flowing over a channel to calculate a fixed penalty
/// applied to each channel, in excess of the [`base_penalty_msat`].
/// A multiplier used with the payment amount to calculate a fixed penalty applied to each
/// channel, in excess of the [`base_penalty_msat`].
///
/// The purpose of the amount penalty is to avoid having fees dominate the channel cost (i.e.,
/// fees plus penalty) for large payments. The penalty is computed as the product of this
/// multiplier and `2^30`ths of the total amount flowing over a channel (i.e. the payment
/// amount plus the amount of any other HTLCs flowing we sent over the same channel).
/// multiplier and `2^30`ths of the payment amount.
///
/// ie `base_penalty_amount_multiplier_msat * amount_msat / 2^30`
///
Expand All @@ -524,14 +523,14 @@ pub struct ProbabilisticScoringFeeParameters {
/// [`liquidity_offset_half_life`]: ProbabilisticScoringDecayParameters::liquidity_offset_half_life
pub liquidity_penalty_multiplier_msat: u64,

/// A multiplier used in conjunction with the total amount flowing over a channel and the
/// negative `log10` of the channel's success probability for the payment, as determined by our
/// latest estimates of the channel's liquidity, to determine the amount penalty.
/// A multiplier used in conjunction with the payment amount and the negative `log10` of the
/// channel's success probability for the total amount flowing over a channel, as determined by
/// our latest estimates of the channel's liquidity, to determine the amount penalty.
///
/// The purpose of the amount penalty is to avoid having fees dominate the channel cost (i.e.,
/// fees plus penalty) for large payments. The penalty is computed as the product of this
/// multiplier and `2^20`ths of the amount flowing over this channel, weighted by the negative
/// `log10` of the success probability.
/// multiplier and `2^20`ths of the payment amount, weighted by the negative `log10` of the
/// success probability.
///
/// `-log10(success_probability) * liquidity_penalty_amount_multiplier_msat * amount_msat / 2^20`
///
Expand Down Expand Up @@ -560,15 +559,14 @@ pub struct ProbabilisticScoringFeeParameters {
/// [`liquidity_penalty_multiplier_msat`]: Self::liquidity_penalty_multiplier_msat
pub historical_liquidity_penalty_multiplier_msat: u64,

/// A multiplier used in conjunction with the total amount flowing over a channel and the
/// negative `log10` of the channel's success probability for the payment, as determined based
/// on the history of our estimates of the channel's available liquidity, to determine a
/// A multiplier used in conjunction with the payment amount and the negative `log10` of the
/// channel's success probability for the total amount flowing over a channel, as determined
/// based on the history of our estimates of the channel's available liquidity, to determine a
/// penalty.
///
/// The purpose of the amount penalty is to avoid having fees dominate the channel cost for
/// large payments. The penalty is computed as the product of this multiplier and `2^20`ths
/// of the amount flowing over this channel, weighted by the negative `log10` of the success
/// probability.
/// of the payment amount, weighted by the negative `log10` of the success probability.
///
/// This penalty is similar to [`liquidity_penalty_amount_multiplier_msat`], however, instead
/// of using only our latest estimate for the current liquidity available in the channel, it
Expand Down Expand Up @@ -1076,26 +1074,30 @@ fn three_f64_pow_3(a: f64, b: f64, c: f64) -> (f64, f64, f64) {
///
/// Must not return a numerator or denominator greater than 2^31 for arguments less than 2^31.
///
/// `total_inflight_amount_msat` includes the amount of the HTLC and any HTLCs in flight over the
/// channel.
///
/// min_zero_implies_no_successes signals that a `min_liquidity_msat` of 0 means we've not
/// (recently) seen an HTLC successfully complete over this channel.
#[inline(always)]
fn success_probability(
amount_msat: u64, min_liquidity_msat: u64, max_liquidity_msat: u64, capacity_msat: u64,
params: &ProbabilisticScoringFeeParameters, min_zero_implies_no_successes: bool,
total_inflight_amount_msat: u64, min_liquidity_msat: u64, max_liquidity_msat: u64,
capacity_msat: u64, params: &ProbabilisticScoringFeeParameters,
min_zero_implies_no_successes: bool,
) -> (u64, u64) {
debug_assert!(min_liquidity_msat <= amount_msat);
debug_assert!(amount_msat < max_liquidity_msat);
debug_assert!(min_liquidity_msat <= total_inflight_amount_msat);
debug_assert!(total_inflight_amount_msat < max_liquidity_msat);
debug_assert!(max_liquidity_msat <= capacity_msat);

let (numerator, mut denominator) =
if params.linear_success_probability {
(max_liquidity_msat - amount_msat,
(max_liquidity_msat - total_inflight_amount_msat,
(max_liquidity_msat - min_liquidity_msat).saturating_add(1))
} else {
let capacity = capacity_msat as f64;
let min = (min_liquidity_msat as f64) / capacity;
let max = (max_liquidity_msat as f64) / capacity;
let amount = (amount_msat as f64) / capacity;
let amount = (total_inflight_amount_msat as f64) / capacity;

// Assume the channel has a probability density function of (x - 0.5)^2 for values from
// 0 to 1 (where 1 is the channel's full capacity). The success probability given some
Expand Down Expand Up @@ -1138,14 +1140,18 @@ impl<L: Deref<Target = u64>, HT: Deref<Target = HistoricalLiquidityTracker>, T:
DirectedChannelLiquidity< L, HT, T> {
/// Returns a liquidity penalty for routing the given HTLC `amount_msat` through the channel in
/// this direction.
fn penalty_msat(&self, amount_msat: u64, score_params: &ProbabilisticScoringFeeParameters) -> u64 {
fn penalty_msat(
&self, amount_msat: u64, inflight_htlc_msat: u64,
score_params: &ProbabilisticScoringFeeParameters,
) -> u64 {
let total_inflight_amount_msat = amount_msat.saturating_add(inflight_htlc_msat);
let available_capacity = self.capacity_msat;
let max_liquidity_msat = self.max_liquidity_msat();
let min_liquidity_msat = core::cmp::min(self.min_liquidity_msat(), max_liquidity_msat);

let mut res = if amount_msat <= min_liquidity_msat {
let mut res = if total_inflight_amount_msat <= min_liquidity_msat {
0
} else if amount_msat >= max_liquidity_msat {
} else if total_inflight_amount_msat >= max_liquidity_msat {
// Equivalent to hitting the else clause below with the amount equal to the effective
// capacity and without any certainty on the liquidity upper bound, plus the
// impossibility penalty.
Expand All @@ -1155,8 +1161,10 @@ DirectedChannelLiquidity< L, HT, T> {
score_params.liquidity_penalty_amount_multiplier_msat)
.saturating_add(score_params.considered_impossible_penalty_msat)
} else {
let (numerator, denominator) = success_probability(amount_msat,
min_liquidity_msat, max_liquidity_msat, available_capacity, score_params, false);
let (numerator, denominator) = success_probability(
total_inflight_amount_msat, min_liquidity_msat, max_liquidity_msat,
available_capacity, score_params, false,
);
if denominator - numerator < denominator / PRECISION_LOWER_BOUND_DENOMINATOR {
// If the failure probability is < 1.5625% (as 1 - numerator/denominator < 1/64),
// don't bother trying to use the log approximation as it gets too noisy to be
Expand All @@ -1171,7 +1179,7 @@ DirectedChannelLiquidity< L, HT, T> {
}
};

if amount_msat >= available_capacity {
if total_inflight_amount_msat >= available_capacity {
// We're trying to send more than the capacity, use a max penalty.
res = res.saturating_add(Self::combined_penalty_msat(amount_msat,
NEGATIVE_LOG10_UPPER_BOUND * 2048,
Expand All @@ -1184,7 +1192,8 @@ DirectedChannelLiquidity< L, HT, T> {
score_params.historical_liquidity_penalty_amount_multiplier_msat != 0 {
if let Some(cumulative_success_prob_times_billion) = self.liquidity_history
.calculate_success_probability_times_billion(
score_params, amount_msat, self.capacity_msat)
score_params, total_inflight_amount_msat, self.capacity_msat
)
{
let historical_negative_log10_times_2048 =
log_approx::negative_log10_times_2048(cumulative_success_prob_times_billion + 1, 1024 * 1024 * 1024);
Expand All @@ -1195,8 +1204,10 @@ DirectedChannelLiquidity< L, HT, T> {
// If we don't have any valid points (or, once decayed, we have less than a full
// point), redo the non-historical calculation with no liquidity bounds tracked and
// the historical penalty multipliers.
let (numerator, denominator) = success_probability(amount_msat, 0,
available_capacity, available_capacity, score_params, true);
let (numerator, denominator) = success_probability(
total_inflight_amount_msat, 0, available_capacity, available_capacity,
score_params, true,
);
let negative_log10_times_2048 =
log_approx::negative_log10_times_2048(numerator, denominator);
res = res.saturating_add(Self::combined_penalty_msat(amount_msat, negative_log10_times_2048,
Expand Down Expand Up @@ -1353,13 +1364,12 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref> ScoreLookUp for Probabilistic
_ => {},
}

let amount_msat = usage.amount_msat.saturating_add(usage.inflight_htlc_msat);
let capacity_msat = usage.effective_capacity.as_msat();
self.channel_liquidities
.get(scid)
.unwrap_or(&ChannelLiquidity::new(Duration::ZERO))
.as_directed(&source, &target, capacity_msat)
.penalty_msat(amount_msat, score_params)
.penalty_msat(usage.amount_msat, usage.inflight_htlc_msat, score_params)
.saturating_add(anti_probing_penalty_msat)
.saturating_add(base_penalty_msat)
}
Expand Down Expand Up @@ -1773,7 +1783,7 @@ mod bucketed_history {

#[inline]
pub(super) fn calculate_success_probability_times_billion(
&self, params: &ProbabilisticScoringFeeParameters, amount_msat: u64,
&self, params: &ProbabilisticScoringFeeParameters, total_inflight_amount_msat: u64,
capacity_msat: u64
) -> Option<u64> {
// If historical penalties are enabled, we try to calculate a probability of success
Expand All @@ -1783,7 +1793,7 @@ mod bucketed_history {
// state). For each pair, we calculate the probability as if the bucket's corresponding
// min- and max- liquidity bounds were our current liquidity bounds and then multiply
// that probability by the weight of the selected buckets.
let payment_pos = amount_to_pos(amount_msat, capacity_msat);
let payment_pos = amount_to_pos(total_inflight_amount_msat, capacity_msat);
if payment_pos >= POSITION_TICKS { return None; }

let min_liquidity_offset_history_buckets =
Expand Down Expand Up @@ -3269,7 +3279,7 @@ mod tests {
short_channel_id: 42,
});

assert_eq!(scorer.channel_penalty_msat(&candidate, usage, &params), 2050);
assert_eq!(scorer.channel_penalty_msat(&candidate, usage, &params), 2048);

let usage = ChannelUsage {
amount_msat: 1,
Expand Down

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