Calculate a new penalty based on historical channel liquidity range

XXX: Write some text here

Author: TheBlueMatt

lightning/src/routing/scoring.rs

@@ -398,6 +398,11 @@ pub struct ProbabilisticScoringParameters {
 	/// Default value: 256 msat
 	pub amount_penalty_multiplier_msat: u64,
 
+	/// XXX: Write docs
+	pub historical_liquidity_penalty_multiplier_msat: u64,
+	/// XXX: Write docs
+	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.
@@ -563,6 +568,8 @@ impl ProbabilisticScoringParameters {
 			liquidity_penalty_multiplier_msat: 0,
 			liquidity_offset_half_life: Duration::from_secs(3600),
 			amount_penalty_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,
@@ -586,6 +593,8 @@ impl Default for ProbabilisticScoringParameters {
 			liquidity_penalty_multiplier_msat: 40_000,
 			liquidity_offset_half_life: Duration::from_secs(3600),
 			amount_penalty_multiplier_msat: 256,
+			historical_liquidity_penalty_multiplier_msat: 0,
+			historical_liquidity_penalty_amount_multiplier_msat: 0,
 			manual_node_penalties: HashMap::new(),
 			anti_probing_penalty_msat: 250,
 			considered_impossible_penalty_msat: 1_0000_0000_000,
@@ -676,14 +685,17 @@ impl<L: Deref<Target = u64>, LA: Deref<Target = [u16; 8]>, T: Time, U: Deref<Tar
 	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.amount_penalty_multiplier_msat)
 				.saturating_add(params.considered_impossible_penalty_msat)
 		} else {
 			let numerator = (max_liquidity_msat - amount_msat).saturating_add(1);
@@ -696,25 +708,85 @@ impl<L: Deref<Target = u64>, LA: Deref<Target = [u16; 8]>, T: Time, U: Deref<Tar
 			} 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.amount_penalty_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 (sane) set
+			// of historical liquidity bucket (min, max) combinations 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 value will be used for a given bucket - the
+			// first bucket receives zero (ie the lower-bound of the bucket), the last bucket
+			// receives nine (ie the upper-bound of the bucket). 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.iter().enumerate() {
+				for max_bucket in self.max_liquidity_offset_history.iter().take(8 - min_idx) {
+					total_valid_points_tracked += (*min_bucket as u64) * (*max_bucket as u64);
+				}
+			}
+			if total_valid_points_tracked == 0 {
+				//XXX: Assign some penalty here, maybe?
+				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_billions = 0;
+			for (min_idx, min_bucket) in self.min_liquidity_offset_history.iter().enumerate() {
+				for (max_idx, max_bucket) in self.max_liquidity_offset_history.iter().enumerate().take(8 - min_idx) {
+					let bucket_prob_millions = (*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_billions += bucket_prob_millions * 1024;
+					} else {
+						//TODO: Make the multiplier here a lookup table to avoid division, probably.
+						cumulative_success_prob_billions += bucket_prob_millions * (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_billions + 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 and combines the liquidity and amount penalties.
 	#[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.amount_penalty_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)
@@ -2337,6 +2409,35 @@ mod tests {
 		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) },
+		};
+		assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 0);
+
+		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), 171);
+	}
+
 	#[test]
 	fn adds_anti_probing_penalty() {
 		let logger = TestLogger::new();