pub base_penalty_amount_multiplier_msat: u64,
/// A multiplier used in conjunction with the negative `log10` of the channel's success
- /// probability for a payment to determine the liquidity penalty.
+ /// probability for a payment, as determined by our latest estimates of the channel's
+ /// liquidity, to determine the liquidity penalty.
///
/// 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
/// 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
+ /// Default value: 30,000 msat
///
/// [`liquidity_offset_half_life`]: Self::liquidity_offset_half_life
pub liquidity_penalty_multiplier_msat: u64,
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.
+ /// channel's success probability for the payment, 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
/// probabilities, the multiplier will have a decreasing effect as the negative `log10` will
/// fall below `1`.
///
- /// Default value: 256 msat
+ /// Default value: 192 msat
pub liquidity_penalty_amount_multiplier_msat: u64,
+ /// A multiplier used in conjunction with 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 penalty.
+ ///
+ /// This penalty is similar to [`liquidity_penalty_multiplier_msat`], however, instead of using
+ /// only our latest estimate for the current liquidity available in the channel, it estimates
+ /// success probability based on the estimated liquidity available in the channel through
+ /// history. Specifically, every time we update our liquidity bounds on a given channel, we
+ /// track which of several buckets those bounds fall into, exponentially decaying the
+ /// probability of each bucket as new samples are added.
+ ///
+ /// Default value: 10,000 msat
+ ///
+ /// [`liquidity_penalty_multiplier_msat`]: Self::liquidity_penalty_multiplier_msat
+ pub historical_liquidity_penalty_multiplier_msat: u64,
+
+ /// A multiplier used in conjunction with the payment amount 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 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 the `2^20`ths
+ /// 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
+ /// estimates success probability based on the estimated liquidity available in the channel
+ /// through history. Specifically, every time we update our liquidity bounds on a given
+ /// channel, we track which of several buckets those bounds fall into, exponentially decaying
+ /// the probability of each bucket as new samples are added.
+ ///
+ /// Default value: 64 msat
+ ///
+ /// [`liquidity_penalty_amount_multiplier_msat`]: Self::liquidity_penalty_amount_multiplier_msat
+ pub historical_liquidity_penalty_amount_multiplier_msat: u64,
+
/// Manual penalties used for the given nodes. Allows to set a particular penalty for a given
/// node. Note that a manual penalty of `u64::max_value()` means the node would not ever be
/// considered during path finding.
liquidity_penalty_multiplier_msat: 0,
liquidity_offset_half_life: Duration::from_secs(3600),
liquidity_penalty_amount_multiplier_msat: 0,
+ historical_liquidity_penalty_multiplier_msat: 0,
+ historical_liquidity_penalty_amount_multiplier_msat: 0,
manual_node_penalties: HashMap::new(),
anti_probing_penalty_msat: 0,
considered_impossible_penalty_msat: 0,
Self {
base_penalty_msat: 500,
base_penalty_amount_multiplier_msat: 8192,
- liquidity_penalty_multiplier_msat: 40_000,
+ liquidity_penalty_multiplier_msat: 30_000,
liquidity_offset_half_life: Duration::from_secs(3600),
- liquidity_penalty_amount_multiplier_msat: 256,
+ liquidity_penalty_amount_multiplier_msat: 192,
+ historical_liquidity_penalty_multiplier_msat: 10_000,
+ historical_liquidity_penalty_amount_multiplier_msat: 64,
manual_node_penalties: HashMap::new(),
anti_probing_penalty_msat: 250,
considered_impossible_penalty_msat: 1_0000_0000_000,
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 <= min_liquidity_msat {
+
+ let mut res = if amount_msat <= min_liquidity_msat {
0
} else if 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.
let negative_log10_times_2048 = NEGATIVE_LOG10_UPPER_BOUND * 2048;
- self.combined_penalty_msat(amount_msat, negative_log10_times_2048, params)
+ Self::combined_penalty_msat(amount_msat, negative_log10_times_2048,
+ params.liquidity_penalty_multiplier_msat,
+ params.liquidity_penalty_amount_multiplier_msat)
.saturating_add(params.considered_impossible_penalty_msat)
} else {
let numerator = (max_liquidity_msat - amount_msat).saturating_add(1);
} else {
let negative_log10_times_2048 =
approx::negative_log10_times_2048(numerator, denominator);
- self.combined_penalty_msat(amount_msat, negative_log10_times_2048, params)
+ Self::combined_penalty_msat(amount_msat, negative_log10_times_2048,
+ params.liquidity_penalty_multiplier_msat,
+ params.liquidity_penalty_amount_multiplier_msat)
+ }
+ };
+
+ if params.historical_liquidity_penalty_multiplier_msat != 0 ||
+ params.historical_liquidity_penalty_amount_multiplier_msat != 0 {
+ // If historical penalties are enabled, calculate the penalty by walking the set of
+ // historical liquidity bucket (min, max) combinations (where min_idx < max_idx)
+ // and, for each, calculate the probability of success given our payment amount, then
+ // total the weighted average probability of success.
+ //
+ // We use a sliding scale to decide which point within a given bucket will be compared
+ // to the amount being sent - for lower-bounds, the amount being sent is compared to
+ // the lower edge of the first bucket (i.e. zero), but compared to the upper 7/8ths of
+ // the last bucket (i.e. 9 times the index, or 63), with each bucket in between
+ // increasing the comparison point by 1/64th. For upper-bounds, the same applies,
+ // however with an offset of 1/64th (i.e. starting at one and ending at 64). This
+ // avoids failing to assign penalties to channels at the edges.
+ //
+ // If we used the bottom edge of buckets, we'd end up never assigning any penalty at
+ // all to such a channel when sending less than ~0.19% of the channel's capacity (e.g.
+ // ~200k sats for a 1 BTC channel!).
+ //
+ // If we used the middle of each bucket we'd never assign any penalty at all when
+ // sending less than 1/16th of a channel's capacity, or 1/8th if we used the top of the
+ // bucket.
+ let mut total_valid_points_tracked = 0;
+ 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(8 - min_idx) {
+ total_valid_points_tracked += (*min_bucket as u64) * (*max_bucket as u64);
+ }
+ }
+ if total_valid_points_tracked == 0 {
+ // If we don't have any valid points, redo the non-historical calculation with no
+ // liquidity bounds tracked and the historical penalty multipliers.
+ let max_capacity = self.capacity_msat.saturating_sub(amount_msat).saturating_add(1);
+ let negative_log10_times_2048 =
+ approx::negative_log10_times_2048(max_capacity, self.capacity_msat.saturating_add(1));
+ res = res.saturating_add(Self::combined_penalty_msat(amount_msat, negative_log10_times_2048,
+ params.historical_liquidity_penalty_multiplier_msat,
+ params.historical_liquidity_penalty_amount_multiplier_msat));
+ return res;
}
+
+ let payment_amt_64th_bucket = amount_msat * 64 / self.capacity_msat;
+ debug_assert!(payment_amt_64th_bucket <= 64);
+ if payment_amt_64th_bucket > 64 { return res; }
+
+ let mut cumulative_success_prob_times_billion = 0;
+ for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
+ for (max_idx, max_bucket) in self.max_liquidity_offset_history.buckets.iter().enumerate().take(8 - min_idx) {
+ let bucket_prob_times_million = (*min_bucket as u64) * (*max_bucket as u64)
+ * 1024 * 1024 / total_valid_points_tracked;
+ let min_64th_bucket = min_idx as u64 * 9;
+ let max_64th_bucket = (7 - max_idx as u64) * 9 + 1;
+ if payment_amt_64th_bucket > max_64th_bucket {
+ // Success probability 0, the payment amount is above the max liquidity
+ } else if payment_amt_64th_bucket <= min_64th_bucket {
+ cumulative_success_prob_times_billion += bucket_prob_times_million * 1024;
+ } else {
+ cumulative_success_prob_times_billion += bucket_prob_times_million *
+ (max_64th_bucket - payment_amt_64th_bucket) * 1024 /
+ (max_64th_bucket - min_64th_bucket);
+ }
+ }
+ }
+ 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,
+ historical_negative_log10_times_2048, params.historical_liquidity_penalty_multiplier_msat,
+ params.historical_liquidity_penalty_amount_multiplier_msat));
}
+
+ res
}
/// Computes the liquidity penalty from the penalty multipliers.
#[inline(always)]
- fn combined_penalty_msat(
- &self, amount_msat: u64, negative_log10_times_2048: u64,
- params: &ProbabilisticScoringParameters
+ fn combined_penalty_msat(amount_msat: u64, negative_log10_times_2048: u64,
+ liquidity_penalty_multiplier_msat: u64, liquidity_penalty_amount_multiplier_msat: u64,
) -> 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 multiplier_msat = liquidity_penalty_multiplier_msat;
let max_penalty_msat = multiplier_msat.saturating_mul(NEGATIVE_LOG10_UPPER_BOUND);
(negative_log10_times_2048.saturating_mul(multiplier_msat) / 2048).min(max_penalty_msat)
};
let amount_penalty_msat = negative_log10_times_2048
- .saturating_mul(params.liquidity_penalty_amount_multiplier_msat)
+ .saturating_mul(liquidity_penalty_amount_multiplier_msat)
.saturating_mul(amount_msat) / 2048 / AMOUNT_PENALTY_DIVISOR;
liquidity_penalty_msat.saturating_add(amount_penalty_msat)
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 3_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1985);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1983);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 4_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1639);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1637);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 5_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1607);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1606);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 6_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1331);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 7_450_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1387);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 7_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1379);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 8_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1363);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 9_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1355);
}
#[test]
let params = ProbabilisticScoringParameters {
base_penalty_msat: 500, liquidity_penalty_multiplier_msat: 1_000,
- anti_probing_penalty_msat: 0, ..Default::default()
+ anti_probing_penalty_msat: 0, ..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph, &logger);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 558);
let params = ProbabilisticScoringParameters {
base_penalty_msat: 500, liquidity_penalty_multiplier_msat: 1_000,
base_penalty_amount_multiplier_msat: (1 << 30),
- anti_probing_penalty_msat: 0, ..Default::default()
+ anti_probing_penalty_msat: 0, ..ProbabilisticScoringParameters::zero_penalty()
};
let scorer = ProbabilisticScorer::new(params, &network_graph, &logger);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), u64::max_value());
}
+ #[test]
+ fn remembers_historical_failures() {
+ let logger = TestLogger::new();
+ let network_graph = network_graph(&logger);
+ let params = ProbabilisticScoringParameters {
+ historical_liquidity_penalty_multiplier_msat: 1024,
+ historical_liquidity_penalty_amount_multiplier_msat: 1024,
+ ..ProbabilisticScoringParameters::zero_penalty()
+ };
+ let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger);
+ let source = source_node_id();
+ let target = target_node_id();
+
+ let usage = ChannelUsage {
+ amount_msat: 100,
+ inflight_htlc_msat: 0,
+ effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: Some(1_024) },
+ };
+ // With no historical data the normal liquidity penalty calculation is used.
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 47);
+
+ scorer.payment_path_failed(&payment_path_for_amount(1).iter().collect::<Vec<_>>(), 42);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 2048);
+
+ // Even after we tell the scorer we definitely have enough available liquidity, it will
+ // still remember that there was some failure in the past, and assign a non-0 penalty.
+ scorer.payment_path_failed(&payment_path_for_amount(1000).iter().collect::<Vec<_>>(), 43);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 198);
+ }
+
#[test]
fn adds_anti_probing_penalty() {
let logger = TestLogger::new();
projects / rust-lightning / commitdiff