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Merge pull request #3616 from TheBlueMatt/2025-02-scoring-overflow

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Fix overflow in historical scoring model point count summation
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Matt Corallo 2025-02-24 19:39:04 +00:00 • committed by GitHub
commit c9fd3a5a1e
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1 changed files with 29 additions and 7 deletions
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36
lightning/src/routing/scoring.rs
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@ -2060,15 +2060,17 @@ mod bucketed_history {
} }
fn recalculate_valid_point_count(&mut self) { fn recalculate_valid_point_count(&mut self) {
let mut total_valid_points_tracked = 0; let mut total_valid_points_tracked = 0u128;
for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() { for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
for max_bucket in self.max_liquidity_offset_history.buckets.iter().take(32 - min_idx) { for max_bucket in self.max_liquidity_offset_history.buckets.iter().take(32 - min_idx) {
// In testing, raising the weights of buckets to a high power led to better // In testing, raising the weights of buckets to a high power led to better
// scoring results. Thus, we raise the bucket weights to the 4th power here (by // scoring results. Thus, we raise the bucket weights to the 4th power here (by
// squaring the result of multiplying the weights). // squaring the result of multiplying the weights). This results in
// bucket_weight having at max 64 bits, which means we have to do our summation
// in 128-bit math.
let mut bucket_weight = (*min_bucket as u64) * (*max_bucket as u64); let mut bucket_weight = (*min_bucket as u64) * (*max_bucket as u64);
bucket_weight *= bucket_weight; bucket_weight *= bucket_weight;
total_valid_points_tracked += bucket_weight; total_valid_points_tracked += bucket_weight as u128;
} }
} }
self.total_valid_points_tracked = total_valid_points_tracked as f64; self.total_valid_points_tracked = total_valid_points_tracked as f64;
@ -2161,12 +2163,12 @@ mod bucketed_history {
let total_valid_points_tracked = self.tracker.total_valid_points_tracked; let total_valid_points_tracked = self.tracker.total_valid_points_tracked;
#[cfg(debug_assertions)] { #[cfg(debug_assertions)] {
let mut actual_valid_points_tracked = 0; let mut actual_valid_points_tracked = 0u128;
for (min_idx, min_bucket) in min_liquidity_offset_history_buckets.iter().enumerate() { for (min_idx, min_bucket) in min_liquidity_offset_history_buckets.iter().enumerate() {
for max_bucket in max_liquidity_offset_history_buckets.iter().take(32 - min_idx) { for max_bucket in max_liquidity_offset_history_buckets.iter().take(32 - min_idx) {
let mut bucket_weight = (*min_bucket as u64) * (*max_bucket as u64); let mut bucket_weight = (*min_bucket as u64) * (*max_bucket as u64);
bucket_weight *= bucket_weight; bucket_weight *= bucket_weight;
actual_valid_points_tracked += bucket_weight; actual_valid_points_tracked += bucket_weight as u128;
} }
} }
assert_eq!(total_valid_points_tracked, actual_valid_points_tracked as f64); assert_eq!(total_valid_points_tracked, actual_valid_points_tracked as f64);
@ -2193,7 +2195,7 @@ mod bucketed_history {
// max-bucket with at least BUCKET_FIXED_POINT_ONE. // max-bucket with at least BUCKET_FIXED_POINT_ONE.
let mut highest_max_bucket_with_points = 0; let mut highest_max_bucket_with_points = 0;
let mut highest_max_bucket_with_full_points = None; let mut highest_max_bucket_with_full_points = None;
let mut total_weight = 0; let mut total_weight = 0u128;
for (max_idx, max_bucket) in max_liquidity_offset_history_buckets.iter().enumerate() { for (max_idx, max_bucket) in max_liquidity_offset_history_buckets.iter().enumerate() {
if *max_bucket >= BUCKET_FIXED_POINT_ONE { if *max_bucket >= BUCKET_FIXED_POINT_ONE {
highest_max_bucket_with_full_points = Some(cmp::max(highest_max_bucket_with_full_points.unwrap_or(0), max_idx)); highest_max_bucket_with_full_points = Some(cmp::max(highest_max_bucket_with_full_points.unwrap_or(0), max_idx));
@ -2206,7 +2208,7 @@ mod bucketed_history {
// squaring the result of multiplying the weights), matching the logic in // squaring the result of multiplying the weights), matching the logic in
// `recalculate_valid_point_count`. // `recalculate_valid_point_count`.
let bucket_weight = (*max_bucket as u64) * (min_liquidity_offset_history_buckets[0] as u64); let bucket_weight = (*max_bucket as u64) * (min_liquidity_offset_history_buckets[0] as u64);
total_weight += bucket_weight * bucket_weight; total_weight += (bucket_weight * bucket_weight) as u128;
} }
debug_assert!(total_weight as f64 <= total_valid_points_tracked); debug_assert!(total_weight as f64 <= total_valid_points_tracked);
// Use the highest max-bucket with at least BUCKET_FIXED_POINT_ONE, but if none is // Use the highest max-bucket with at least BUCKET_FIXED_POINT_ONE, but if none is
@ -2343,6 +2345,26 @@ mod bucketed_history {
assert_ne!(probability1, probability); assert_ne!(probability1, probability);
} }
#[test]
fn historical_heavy_buckets_operations() {
// Checks that we don't hit overflows when working with tons of data (even an
// impossible-to-reach amount of data).
let mut tracker = HistoricalLiquidityTracker::new();
tracker.min_liquidity_offset_history.buckets = [0xffff; 32];
tracker.max_liquidity_offset_history.buckets = [0xffff; 32];
tracker.recalculate_valid_point_count();
tracker.merge(&tracker.clone());
assert_eq!(tracker.min_liquidity_offset_history.buckets, [0xffff; 32]);
assert_eq!(tracker.max_liquidity_offset_history.buckets, [0xffff; 32]);
let mut directed = tracker.as_directed_mut(true);
let default_params = ProbabilisticScoringFeeParameters::default();
directed.calculate_success_probability_times_billion(&default_params, 42, 1000);
directed.track_datapoint(42, 52, 1000);
tracker.decay_buckets(1.0);
}
} }
} }