Decay historical liquidity tracking when no new data is added

To avoid scoring based on incredibly old historical liquidity data,
we add a new half-life here which is used to (very slowly) decay
historical liquidity tracking buckets.

Author: TheBlueMatt

lightning/src/routing/scoring.rs

@@ -62,7 +62,7 @@ use util::logger::Logger;
 use util::time::Time;
 
 use prelude::*;
-use core::fmt;
+use core::{cmp, fmt};
 use core::cell::{RefCell, RefMut};
 use core::convert::TryInto;
 use core::ops::{Deref, DerefMut};
@@ -436,6 +436,16 @@ pub struct ProbabilisticScoringParameters {
 	/// [`liquidity_penalty_amount_multiplier_msat`]: Self::liquidity_penalty_amount_multiplier_msat
 	pub historical_liquidity_penalty_amount_multiplier_msat: u64,
 
+	/// If we aren't learning any new datapoints for a channel, the historical liquidity bounds
+	/// tracking can simply live on with increasingly stale data. Instead, when a channel has not
+	/// seen a liquidity estimate update for this amount of time, the historical datapoints are
+	/// decayed by half.
+	///
+	/// Note that after 16 or more half lives all historical data will be completely gone.
+	///
+	/// Default value: 14 days
+	pub historical_no_updates_half_life: Duration,
+
 	/// 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.
@@ -509,10 +519,89 @@ impl HistoricalBucketRangeTracker {
 			self.buckets[bucket_idx as usize] = self.buckets[bucket_idx as usize].saturating_add(32);
 		}
 	}
+	/// Decay all buckets by the given number of half-lives. Used to more aggressively remove old
+	/// datapoints as we receive newer information.
+	fn time_decay_data(&mut self, half_lives: u32) {
+		for e in self.buckets.iter_mut() {
+			*e = e.checked_shr(half_lives).unwrap_or(0);
+		}
+	}
 }
 
 impl_writeable_tlv_based!(HistoricalBucketRangeTracker, { (0, buckets, required) });
 
+struct HistoricalMinMaxBuckets<'a> {
+	min_liquidity_offset_history: &'a HistoricalBucketRangeTracker,
+	max_liquidity_offset_history: &'a HistoricalBucketRangeTracker,
+}
+
+impl HistoricalMinMaxBuckets<'_> {
+	#[inline]
+	fn calculate_success_probability_times_billion(&self, required_decays: u32, payment_amt_64th_bucket: u8) -> Option<u64> {
+		// 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;
+
+		// Rather than actually decaying the individual buckets, which would lose precision, we
+		// simply track whether all buckets would be decayed to zero, in which case we treat it as
+		// if we had no data.
+		let mut is_fully_decayed = true;
+		let mut check_track_bucket_contains_undecayed_points =
+			|bucket_val: u16| if bucket_val.checked_shr(required_decays).unwrap_or(0) > 0 { is_fully_decayed = false; };
+
+		for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
+			check_track_bucket_contains_undecayed_points(*min_bucket);
+			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);
+				check_track_bucket_contains_undecayed_points(*max_bucket);
+			}
+		}
+		// If the total valid points is smaller than 1.0 (i.e. 32 in our fixed-point scheme), treat
+		// it as if we were fully decayed.
+		if total_valid_points_tracked.checked_shr(required_decays).unwrap_or(0) < 32*32 || is_fully_decayed {
+			return None;
+		}
+
+		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 u8 * 9;
+				let max_64th_bucket = (7 - max_idx as u8) * 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) as u64) * 1024 /
+						((max_64th_bucket - min_64th_bucket) as u64);
+				}
+			}
+		}
+
+		Some(cumulative_success_prob_times_billion)
+	}
+}
+
 /// Accounting for channel liquidity balance uncertainty.
 ///
 /// Direction is defined in terms of [`NodeId`] partial ordering, where the source node is the
@@ -645,6 +734,7 @@ impl ProbabilisticScoringParameters {
 			liquidity_penalty_amount_multiplier_msat: 0,
 			historical_liquidity_penalty_multiplier_msat: 0,
 			historical_liquidity_penalty_amount_multiplier_msat: 0,
+			historical_no_updates_half_life: Duration::from_secs(60 * 60 * 24 * 14),
 			manual_node_penalties: HashMap::new(),
 			anti_probing_penalty_msat: 0,
 			considered_impossible_penalty_msat: 0,
@@ -670,6 +760,7 @@ impl Default for ProbabilisticScoringParameters {
 			liquidity_penalty_amount_multiplier_msat: 192,
 			historical_liquidity_penalty_multiplier_msat: 10_000,
 			historical_liquidity_penalty_amount_multiplier_msat: 64,
+			historical_no_updates_half_life: Duration::from_secs(60 * 60 * 24 * 14),
 			manual_node_penalties: HashMap::new(),
 			anti_probing_penalty_msat: 250,
 			considered_impossible_penalty_msat: 1_0000_0000_000,
@@ -791,35 +882,27 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
 
 		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 required_decays = self.now.duration_since(*self.last_updated).as_secs()
+				.checked_div(params.historical_no_updates_half_life.as_secs())
+				.map_or(u32::max_value(), |decays| cmp::min(decays, u32::max_value() as u64) as u32);
+			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 buckets = HistoricalMinMaxBuckets {
+				min_liquidity_offset_history: &self.min_liquidity_offset_history,
+				max_liquidity_offset_history: &self.max_liquidity_offset_history,
+			};
+			if let Some(cumulative_success_prob_times_billion) = buckets
+					.calculate_success_probability_times_billion(required_decays, payment_amt_64th_bucket as u8) {
+				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));
+			} else {
+				// 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 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));
@@ -828,33 +911,6 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
 					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
@@ -927,6 +983,12 @@ impl<L: DerefMut<Target = u64>, BRT: DerefMut<Target = HistoricalBucketRangeTrac
 	}
 
 	fn update_history_buckets(&mut self) {
+		let half_lives = self.now.duration_since(*self.last_updated).as_secs()
+			.checked_div(self.params.historical_no_updates_half_life.as_secs())
+			.map(|v| v.try_into().unwrap_or(u32::max_value())).unwrap_or(u32::max_value());
+		self.min_liquidity_offset_history.time_decay_data(half_lives);
+		self.max_liquidity_offset_history.time_decay_data(half_lives);
+
 		debug_assert!(*self.min_liquidity_offset_msat <= self.capacity_msat);
 		self.min_liquidity_offset_history.track_datapoint(
 			// Ensure the bucket index we pass is in the range [0, 7], even if the liquidity offset
@@ -949,8 +1011,8 @@ impl<L: DerefMut<Target = u64>, BRT: DerefMut<Target = HistoricalBucketRangeTrac
 		} else {
 			self.decayed_offset_msat(*self.max_liquidity_offset_msat)
 		};
-		*self.last_updated = self.now;
 		self.update_history_buckets();
+		*self.last_updated = self.now;
 	}
 
 	/// Adjusts the upper bound of the channel liquidity balance in this direction.
@@ -961,8 +1023,8 @@ impl<L: DerefMut<Target = u64>, BRT: DerefMut<Target = HistoricalBucketRangeTrac
 		} else {
 			self.decayed_offset_msat(*self.min_liquidity_offset_msat)
 		};
-		*self.last_updated = self.now;
 		self.update_history_buckets();
+		*self.last_updated = self.now;
 	}
 }
 
@@ -2479,6 +2541,7 @@ mod tests {
 		let params = ProbabilisticScoringParameters {
 			historical_liquidity_penalty_multiplier_msat: 1024,
 			historical_liquidity_penalty_amount_multiplier_msat: 1024,
+			historical_no_updates_half_life: Duration::from_secs(10),
 			..ProbabilisticScoringParameters::zero_penalty()
 		};
 		let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger);
@@ -2500,6 +2563,11 @@ mod tests {
 		// 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);
+
+		// Advance the time forward 16 half-lives (which the docs claim will ensure all data is
+		// gone), and check that we're back to where we started.
+		SinceEpoch::advance(Duration::from_secs(10 * 16));
+		assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 47);
 	}
 
 	#[test]