Merge pull request #3356 from jkczyz/2024-10-inflight-scoring

Don't over-penalize channels with inflight HTLCs

Author: TheBlueMatt

lightning/src/routing/router.rs

@@ -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),
@@ -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);

lightning/src/routing/scoring.rs

@@ -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`
 	///
@@ -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`
 	///
@@ -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
@@ -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
@@ -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.
@@ -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
@@ -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,
@@ -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);
@@ -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,
@@ -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)
 	}
@@ -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
@@ -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 =
@@ -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,