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Split out success probability calculation to allow for changes

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Our "what is the success probability of paying over a channel with
the given liquidity bounds" calculation is reused in a few places,
and is a key assumption across our main score calculation and the
historical bucket score calculations.

Here we break it out into a function to make it easier to
experiment with different success probability calculations.

Note that this drops the numerator +1 in the liquidity scorer,
which was added to compensate for the divisor + 1 (which exists to
avoid divide-by-zero), making the new math slightly less correct
but not by any material amount.
This commit is contained in:
Matt Corallo 2023-04-24 05:16:51 +00:00
parent 6d5c5ba4bb
commit 75438900b2
1 changed files with 49 additions and 31 deletions
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80
lightning/src/routing/scoring.rs
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@ -893,7 +893,7 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> ProbabilisticScorerU
/// [`Self::historical_estimated_channel_liquidity_probabilities`] (but not those returned by
/// [`Self::estimated_channel_liquidity_range`]).
pub fn historical_estimated_payment_success_probability(
&self, scid: u64, target: &NodeId, amount_msat: u64)
&self, scid: u64, target: &NodeId, amount_msat: u64, params: &ProbabilisticScoringFeeParameters)
-> Option<f64> {
let graph = self.network_graph.read_only();
@ -905,7 +905,8 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> ProbabilisticScorerU
return dir_liq.liquidity_history.calculate_success_probability_times_billion(
dir_liq.now, *dir_liq.last_updated,
self.decay_params.historical_no_updates_half_life, amount_msat, capacity_msat
self.decay_params.historical_no_updates_half_life, &params, amount_msat,
capacity_msat
).map(|p| p as f64 / (1024 * 1024 * 1024) as f64);
}
}
@ -997,6 +998,23 @@ const PRECISION_LOWER_BOUND_DENOMINATOR: u64 = approx::LOWER_BITS_BOUND;
const AMOUNT_PENALTY_DIVISOR: u64 = 1 << 20;
const BASE_AMOUNT_PENALTY_DIVISOR: u64 = 1 << 30;
/// Given liquidity bounds, calculates the success probability (in the form of a numerator and
/// denominator) of an HTLC. This is a key assumption in our scoring models.
///
/// Must not return a numerator or denominator greater than 2^31 for arguments less than 2^31.
///
/// 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,
) -> (u64, u64) {
let numerator = max_liquidity_msat - amount_msat;
let denominator = (max_liquidity_msat - min_liquidity_msat).saturating_add(1);
(numerator, denominator)
}
impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>, T: Time, U: Deref<Target = T>> DirectedChannelLiquidity< L, BRT, T, U> {
/// Returns a liquidity penalty for routing the given HTLC `amount_msat` through the channel in
/// this direction.
@ -1017,9 +1035,9 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
score_params.liquidity_penalty_amount_multiplier_msat)
.saturating_add(score_params.considered_impossible_penalty_msat)
} else {
let numerator = (max_liquidity_msat - amount_msat).saturating_add(1);
let denominator = (max_liquidity_msat - min_liquidity_msat).saturating_add(1);
if amount_msat - min_liquidity_msat < denominator / PRECISION_LOWER_BOUND_DENOMINATOR {
let (numerator, denominator) = success_probability(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
// particularly helpful, instead just round down to 0.
@ -1046,7 +1064,8 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
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(self.now, *self.last_updated,
self.decay_params.historical_no_updates_half_life, amount_msat, self.capacity_msat)
self.decay_params.historical_no_updates_half_life, score_params, amount_msat,
self.capacity_msat)
{
let historical_negative_log10_times_2048 = approx::negative_log10_times_2048(cumulative_success_prob_times_billion + 1, 1024 * 1024 * 1024);
res = res.saturating_add(Self::combined_penalty_msat(amount_msat,
@ -1056,9 +1075,8 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
// 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 available_capacity = self.available_capacity();
let numerator = available_capacity.saturating_sub(amount_msat).saturating_add(1);
let denominator = available_capacity.saturating_add(1);
let (numerator, denominator) = success_probability(amount_msat, 0,
available_capacity, available_capacity, score_params, true);
let negative_log10_times_2048 =
approx::negative_log10_times_2048(numerator, denominator);
res = res.saturating_add(Self::combined_penalty_msat(amount_msat, negative_log10_times_2048,
@ -1851,8 +1869,9 @@ mod bucketed_history {
#[inline]
pub(super) fn calculate_success_probability_times_billion<T: Time>(
&self, now: T, last_updated: T, half_life: Duration, amount_msat: u64, capacity_msat: u64)
-> Option<u64> {
&self, now: T, last_updated: T, half_life: Duration,
params: &ProbabilisticScoringFeeParameters, amount_msat: u64, capacity_msat: u64
) -> Option<u64> {
// If historical penalties are enabled, we try to calculate a probability of success
// given our historical distribution of min- and max-liquidity bounds in a channel.
// To do so, we walk the set of historical liquidity bucket (min, max) combinations
@ -1887,14 +1906,13 @@ mod bucketed_history {
}
let max_bucket_end_pos = BUCKET_START_POS[32 - highest_max_bucket_with_points] - 1;
if payment_pos < max_bucket_end_pos {
let (numerator, denominator) = success_probability(payment_pos as u64, 0,
max_bucket_end_pos as u64, POSITION_TICKS as u64 - 1, params, true);
let bucket_prob_times_billion =
(self.min_liquidity_offset_history.buckets[0] as u64) * total_max_points
* 1024 * 1024 * 1024 / total_valid_points_tracked;
cumulative_success_prob_times_billion += bucket_prob_times_billion *
((max_bucket_end_pos - payment_pos) as u64) /
// Add an additional one in the divisor as the payment bucket has been
// rounded down.
(max_bucket_end_pos + 1) as u64;
numerator / denominator;
}
}
@ -1912,11 +1930,11 @@ mod bucketed_history {
} else if payment_pos < min_bucket_start_pos {
cumulative_success_prob_times_billion += bucket_prob_times_billion;
} else {
let (numerator, denominator) = success_probability(payment_pos as u64,
min_bucket_start_pos as u64, max_bucket_end_pos as u64,
POSITION_TICKS as u64 - 1, params, true);
cumulative_success_prob_times_billion += bucket_prob_times_billion *
((max_bucket_end_pos - payment_pos) as u64) /
// Add an additional one in the divisor as the payment bucket has been
// rounded down.
((max_bucket_end_pos - min_bucket_start_pos + 1) as u64);
numerator / denominator;
}
}
}
@ -2719,7 +2737,7 @@ mod tests {
let usage = ChannelUsage { amount_msat: 256, ..usage };
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), 106);
let usage = ChannelUsage { amount_msat: 768, ..usage };
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), 916);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), 921);
let usage = ChannelUsage { amount_msat: 896, ..usage };
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), u64::max_value());
@ -2919,7 +2937,7 @@ mod tests {
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), 300);
SinceEpoch::advance(Duration::from_secs(10));
assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, &params), 365);
assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, &params), 370);
}
#[test]
@ -3146,7 +3164,7 @@ mod tests {
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), 47);
assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
None);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42),
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42, &params),
None);
scorer.payment_path_failed(&payment_path_for_amount(1), 42);
@ -3157,9 +3175,9 @@ mod tests {
assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
Some(([32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])));
assert!(scorer.historical_estimated_payment_success_probability(42, &target, 1)
assert!(scorer.historical_estimated_payment_success_probability(42, &target, 1, &params)
.unwrap() > 0.35);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 500),
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 500, &params),
Some(0.0));
// Even after we tell the scorer we definitely have enough available liquidity, it will
@ -3174,11 +3192,11 @@ mod tests {
// The exact success probability is a bit complicated and involves integer rounding, so we
// simply check bounds here.
let five_hundred_prob =
scorer.historical_estimated_payment_success_probability(42, &target, 500).unwrap();
scorer.historical_estimated_payment_success_probability(42, &target, 500, &params).unwrap();
assert!(five_hundred_prob > 0.66);
assert!(five_hundred_prob < 0.68);
let one_prob =
scorer.historical_estimated_payment_success_probability(42, &target, 1).unwrap();
scorer.historical_estimated_payment_success_probability(42, &target, 1, &params).unwrap();
assert!(one_prob < 1.0);
assert!(one_prob > 0.95);
@ -3190,7 +3208,7 @@ mod tests {
// data entirely instead.
assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
None);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 1), None);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 1, &params), None);
let mut usage = ChannelUsage {
amount_msat: 100,
@ -3354,7 +3372,7 @@ mod tests {
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, &params), 0);
assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
None);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42),
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42, &params),
None);
// Fail to pay once, and then check the buckets and penalty.
@ -3369,14 +3387,14 @@ mod tests {
Some(([32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])));
// The success probability estimate itself should be zero.
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat),
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat, &params),
Some(0.0));
// Now test again with the amount in the bottom bucket.
amount_msat /= 2;
// The new amount is entirely within the only minimum bucket with score, so the probability
// we assign is 1/2.
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat),
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat, &params),
Some(0.5));
// ...but once we see a failure, we consider the payment to be substantially less likely,
@ -3386,7 +3404,7 @@ mod tests {
assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
Some(([63, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[32, 31, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])));
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat),
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat, &params),
Some(0.0));
}
}