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Merge pull request #1399 from jkczyz/2022-03-scoring-tweaks
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ProbabilisticScorer improvements
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@TheBlueMatt
TheBlueMatt authored Apr 2, 2022
2 parents 6b8ad4e + 5425b2b commit af31831
Showing 1 changed file with 137 additions and 37 deletions.
174 changes: 137 additions & 37 deletions lightning/src/routing/scoring.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -517,7 +517,7 @@ pub struct ProbabilisticScorerUsingTime<G: Deref<Target = NetworkGraph>, T: Time

/// Parameters for configuring [`ProbabilisticScorer`].
///
/// Used to configure a base penalty and a liquidity penalty, the sum of which is the channel
/// Used to configure base, liquidity, and amount penalties, the sum of which comprises the channel
/// penalty (i.e., the amount in msats willing to be paid to avoid routing through the channel).
#[derive(Clone, Copy)]
pub struct ProbabilisticScoringParameters {
Expand All @@ -529,9 +529,12 @@ pub struct ProbabilisticScoringParameters {
/// A multiplier used in conjunction with the negative `log10` of the channel's success
/// probability for a payment to determine the liquidity penalty.
///
/// The penalty is based in part by the knowledge learned from prior successful and unsuccessful
/// The penalty is based in part on the knowledge learned from prior successful and unsuccessful
/// payments. This knowledge is decayed over time based on [`liquidity_offset_half_life`]. The
/// penalty is effectively limited to `2 * liquidity_penalty_multiplier_msat`.
/// penalty is effectively limited to `2 * liquidity_penalty_multiplier_msat` (corresponding to
/// lower bounding the success probability to `0.01`) when the amount falls within the
/// uncertainty bounds of the channel liquidity balance. Amounts above the upper bound will
/// result in a `u64::max_value` penalty, however.
///
/// Default value: 40,000 msat
///
Expand All @@ -552,6 +555,25 @@ pub struct ProbabilisticScoringParameters {
/// When built with the `no-std` feature, time will never elapse. Therefore, the channel
/// liquidity knowledge will never decay except when the bounds cross.
pub liquidity_offset_half_life: Duration,

/// A multiplier used in conjunction with a payment amount and the negative `log10` of the
/// channel's success probability for the payment 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 payment amount, weighted by the negative `log10` of the
/// success probability.
///
/// `-log10(success_probability) * amount_penalty_multiplier_msat * amount_msat / 2^20`
///
/// In practice, this means for 0.1 success probability (`-log10(0.1) == 1`) each `2^20`th of
/// the amount will result in a penalty of the multiplier. And, as the success probability
/// decreases, the negative `log10` weighting will increase dramatically. For higher success
/// probabilities, the multiplier will have a decreasing effect as the negative `log10` will
/// fall below `1`.
///
/// Default value: 256 msat
pub amount_penalty_multiplier_msat: u64,
}

/// Accounting for channel liquidity balance uncertainty.
Expand Down Expand Up @@ -599,12 +621,25 @@ impl<G: Deref<Target = NetworkGraph>, T: Time> ProbabilisticScorerUsingTime<G, T
}
}

impl ProbabilisticScoringParameters {
#[cfg(test)]
fn zero_penalty() -> Self {
Self {
base_penalty_msat: 0,
liquidity_penalty_multiplier_msat: 0,
liquidity_offset_half_life: Duration::from_secs(3600),
amount_penalty_multiplier_msat: 0,
}
}
}

impl Default for ProbabilisticScoringParameters {
fn default() -> Self {
Self {
base_penalty_msat: 500,
liquidity_penalty_multiplier_msat: 40_000,
liquidity_offset_half_life: Duration::from_secs(3600),
amount_penalty_multiplier_msat: 256,
}
}
}
Expand Down Expand Up @@ -662,27 +697,63 @@ impl<T: Time> ChannelLiquidity<T> {
}
}

/// Bounds `-log10` to avoid excessive liquidity penalties for payments with low success
/// probabilities.
const NEGATIVE_LOG10_UPPER_BOUND: u64 = 2;

/// The divisor used when computing the amount penalty.
const AMOUNT_PENALTY_DIVISOR: u64 = 1 << 20;

impl<L: Deref<Target = u64>, T: Time, U: Deref<Target = T>> DirectedChannelLiquidity<L, T, U> {
/// Returns a penalty for routing the given HTLC `amount_msat` through the channel in this
/// direction.
fn penalty_msat(&self, amount_msat: u64, liquidity_penalty_multiplier_msat: u64) -> u64 {
let max_penalty_msat = liquidity_penalty_multiplier_msat.saturating_mul(2);
fn penalty_msat(&self, amount_msat: u64, params: ProbabilisticScoringParameters) -> u64 {
let max_liquidity_msat = self.max_liquidity_msat();
let min_liquidity_msat = core::cmp::min(self.min_liquidity_msat(), max_liquidity_msat);
if amount_msat > max_liquidity_msat {
max_penalty_msat
} else if amount_msat <= min_liquidity_msat {
if amount_msat <= min_liquidity_msat {
0
} else if amount_msat >= max_liquidity_msat {
if amount_msat > max_liquidity_msat {
u64::max_value()
} else if max_liquidity_msat != self.capacity_msat {
// Avoid using the failed channel on retry.
u64::max_value()
} else {
// Equivalent to hitting the else clause below with the amount equal to the
// effective capacity and without any certainty on the liquidity upper bound.
let negative_log10_times_1024 = NEGATIVE_LOG10_UPPER_BOUND * 1024;
self.combined_penalty_msat(amount_msat, negative_log10_times_1024, params)
}
} else {
let numerator = (max_liquidity_msat - amount_msat).saturating_add(1);
let denominator = (max_liquidity_msat - min_liquidity_msat).saturating_add(1);
let penalty_msat = approx::negative_log10_times_1024(numerator, denominator)
.saturating_mul(liquidity_penalty_multiplier_msat) / 1024;
// Upper bound the penalty to ensure some channel is selected.
penalty_msat.min(max_penalty_msat)
let negative_log10_times_1024 =
approx::negative_log10_times_1024(numerator, denominator);
self.combined_penalty_msat(amount_msat, negative_log10_times_1024, params)
}
}

/// Computes the liquidity and amount penalties and adds them to the base penalty.
#[inline(always)]
fn combined_penalty_msat(
&self, amount_msat: u64, negative_log10_times_1024: u64,
params: ProbabilisticScoringParameters
) -> u64 {
let liquidity_penalty_msat = {
// Upper bound the liquidity penalty to ensure some channel is selected.
let multiplier_msat = params.liquidity_penalty_multiplier_msat;
let max_penalty_msat = multiplier_msat.saturating_mul(NEGATIVE_LOG10_UPPER_BOUND);
(negative_log10_times_1024.saturating_mul(multiplier_msat) / 1024).min(max_penalty_msat)
};
let amount_penalty_msat = negative_log10_times_1024
.saturating_mul(params.amount_penalty_multiplier_msat)
.saturating_mul(amount_msat) / 1024 / AMOUNT_PENALTY_DIVISOR;

params.base_penalty_msat
.saturating_add(liquidity_penalty_msat)
.saturating_add(amount_penalty_msat)
}

/// Returns the lower bound of the channel liquidity balance in this direction.
fn min_liquidity_msat(&self) -> u64 {
self.decayed_offset_msat(*self.min_liquidity_offset_msat)
Expand Down Expand Up @@ -752,14 +823,12 @@ impl<G: Deref<Target = NetworkGraph>, T: Time> Score for ProbabilisticScorerUsin
&self, short_channel_id: u64, amount_msat: u64, capacity_msat: u64, source: &NodeId,
target: &NodeId
) -> u64 {
let liquidity_penalty_multiplier_msat = self.params.liquidity_penalty_multiplier_msat;
let liquidity_offset_half_life = self.params.liquidity_offset_half_life;
self.channel_liquidities
.get(&short_channel_id)
.unwrap_or(&ChannelLiquidity::new())
.as_directed(source, target, capacity_msat, liquidity_offset_half_life)
.penalty_msat(amount_msat, liquidity_penalty_multiplier_msat)
.saturating_add(self.params.base_penalty_msat)
.penalty_msat(amount_msat, self.params)
}

fn payment_path_failed(&mut self, path: &[&RouteHop], short_channel_id: u64) {
Expand Down Expand Up @@ -1737,7 +1806,8 @@ mod tests {
fn increased_penalty_nearing_liquidity_upper_bound() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
Expand All @@ -1762,7 +1832,8 @@ mod tests {
let last_updated = SinceEpoch::now();
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph)
.with_channel(42,
Expand All @@ -1774,15 +1845,16 @@ mod tests {

assert_eq!(scorer.channel_penalty_msat(42, 39, 100, &source, &target), 0);
assert_ne!(scorer.channel_penalty_msat(42, 50, 100, &source, &target), 0);
assert_ne!(scorer.channel_penalty_msat(42, 50, 100, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 61, 100, &source, &target), 2_000);
assert_ne!(scorer.channel_penalty_msat(42, 50, 100, &source, &target), u64::max_value());
assert_eq!(scorer.channel_penalty_msat(42, 61, 100, &source, &target), u64::max_value());
}

#[test]
fn does_not_further_penalize_own_channel() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let sender = sender_node_id();
Expand All @@ -1803,7 +1875,8 @@ mod tests {
fn sets_liquidity_lower_bound_on_downstream_failure() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
Expand All @@ -1825,7 +1898,8 @@ mod tests {
fn sets_liquidity_upper_bound_on_failure() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
Expand All @@ -1839,15 +1913,16 @@ mod tests {
scorer.payment_path_failed(&path.iter().collect::<Vec<_>>(), 42);

assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 300);
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 750, 1_000, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), u64::max_value());
assert_eq!(scorer.channel_penalty_msat(42, 750, 1_000, &source, &target), u64::max_value());
}

#[test]
fn reduces_liquidity_upper_bound_along_path_on_success() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let sender = sender_node_id();
Expand All @@ -1871,9 +1946,9 @@ mod tests {
fn decays_liquidity_bounds_over_time() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0,
liquidity_penalty_multiplier_msat: 1_000,
liquidity_offset_half_life: Duration::from_secs(10),
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
Expand All @@ -1888,19 +1963,19 @@ mod tests {
assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 0);
assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 97);
assert_eq!(scorer.channel_penalty_msat(42, 768, 1_024, &source, &target), 1_409);
assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), u64::max_value());

SinceEpoch::advance(Duration::from_secs(9));
assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 0);
assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 97);
assert_eq!(scorer.channel_penalty_msat(42, 768, 1_024, &source, &target), 1_409);
assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), u64::max_value());

SinceEpoch::advance(Duration::from_secs(1));
assert_eq!(scorer.channel_penalty_msat(42, 64, 1_024, &source, &target), 0);
assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 34);
assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), 1_773);
assert_eq!(scorer.channel_penalty_msat(42, 960, 1_024, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 960, 1_024, &source, &target), u64::max_value());

// Fully decay liquidity lower bound.
SinceEpoch::advance(Duration::from_secs(10 * 7));
Expand All @@ -1923,9 +1998,9 @@ mod tests {
fn decays_liquidity_bounds_without_shift_overflow() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0,
liquidity_penalty_multiplier_msat: 1_000,
liquidity_offset_half_life: Duration::from_secs(10),
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
Expand All @@ -1948,9 +2023,9 @@ mod tests {
fn restricts_liquidity_bounds_after_decay() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0,
liquidity_penalty_multiplier_msat: 1_000,
liquidity_offset_half_life: Duration::from_secs(10),
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
Expand Down Expand Up @@ -1986,16 +2061,16 @@ mod tests {
fn restores_persisted_liquidity_bounds() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0,
liquidity_penalty_multiplier_msat: 1_000,
liquidity_offset_half_life: Duration::from_secs(10),
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
let target = target_node_id();

scorer.payment_path_failed(&payment_path_for_amount(500).iter().collect::<Vec<_>>(), 42);
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), u64::max_value());

SinceEpoch::advance(Duration::from_secs(10));
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 472);
Expand All @@ -2016,16 +2091,16 @@ mod tests {
fn decays_persisted_liquidity_bounds() {
let network_graph = network_graph();
let params = ProbabilisticScoringParameters {
base_penalty_msat: 0,
liquidity_penalty_multiplier_msat: 1_000,
liquidity_offset_half_life: Duration::from_secs(10),
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph);
let source = source_node_id();
let target = target_node_id();

scorer.payment_path_failed(&payment_path_for_amount(500).iter().collect::<Vec<_>>(), 42);
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 2_000);
assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), u64::max_value());

let mut serialized_scorer = Vec::new();
scorer.write(&mut serialized_scorer).unwrap();
Expand All @@ -2051,7 +2126,8 @@ mod tests {
let target = target_node_id();

let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, liquidity_penalty_multiplier_msat: 1_000, ..Default::default()
liquidity_penalty_multiplier_msat: 1_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph);
assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 58);
Expand All @@ -2063,14 +2139,38 @@ mod tests {
assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 558);
}

#[test]
fn adds_amount_penalty_to_liquidity_penalty() {
let network_graph = network_graph();
let source = source_node_id();
let target = target_node_id();

let params = ProbabilisticScoringParameters {
liquidity_penalty_multiplier_msat: 1_000,
amount_penalty_multiplier_msat: 0,
..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph);
assert_eq!(scorer.channel_penalty_msat(42, 512_000, 1_024_000, &source, &target), 300);

let params = ProbabilisticScoringParameters {
liquidity_penalty_multiplier_msat: 1_000,
amount_penalty_multiplier_msat: 256,
..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph);
assert_eq!(scorer.channel_penalty_msat(42, 512_000, 1_024_000, &source, &target), 337);
}

#[test]
fn calculates_log10_without_overflowing_u64_max_value() {
let network_graph = network_graph();
let source = source_node_id();
let target = target_node_id();

let params = ProbabilisticScoringParameters {
base_penalty_msat: 0, ..Default::default()
liquidity_penalty_multiplier_msat: 40_000,
..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph);
assert_eq!(
Expand Down

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