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Add a per-amount base penalty in the ProbabilisticScorer
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There's not much reason to not have a per-hop-per-amount penalty in
the `ProbabilisticScorer` to go along with the per-hop penalty to
let it scale up to larger amounts, so we add one here.

Notably, we use a divisor of 2^30 instead of 2^20 (like the
equivalent liquidity penalty) as it allows for more flexibility,
and there's not really any reason to worry about us not being able
to create high enough penalties.

Closes #1616
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@TheBlueMatt
TheBlueMatt committed Jul 14, 2022
1 parent aad65c8 commit db0e626
Showing 1 changed file with 45 additions and 19 deletions.
64 changes: 45 additions & 19 deletions lightning/src/routing/scoring.rs
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Expand Up @@ -331,6 +331,17 @@ pub struct ProbabilisticScoringParameters {
/// Default value: 500 msat
pub base_penalty_msat: u64,

/// A fixed penalty in msats to apply to each channel, multiplied by the payment amount.
///
/// 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 payment amount.
///
/// ie `amount_penalty_multiplier_msat * amount_msat / 2^30`
///
/// Default value: 8,192 msat
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.
///
Expand Down Expand Up @@ -505,6 +516,7 @@ impl ProbabilisticScoringParameters {
fn zero_penalty() -> Self {
Self {
base_penalty_msat: 0,
base_penalty_amount_multiplier_msat: 0,
liquidity_penalty_multiplier_msat: 0,
liquidity_offset_half_life: Duration::from_secs(3600),
amount_penalty_multiplier_msat: 0,
Expand All @@ -526,6 +538,7 @@ impl Default for ProbabilisticScoringParameters {
fn default() -> Self {
Self {
base_penalty_msat: 500,
base_penalty_amount_multiplier_msat: 8192,
liquidity_penalty_multiplier_msat: 40_000,
liquidity_offset_half_life: Duration::from_secs(3600),
amount_penalty_multiplier_msat: 256,
Expand Down Expand Up @@ -598,10 +611,11 @@ const PRECISION_LOWER_BOUND_DENOMINATOR: u64 = approx::LOWER_BITS_BOUND;

/// The divisor used when computing the amount penalty.
const AMOUNT_PENALTY_DIVISOR: u64 = 1 << 20;
const BASE_AMOUNT_PENALTY_DIVISOR: u64 = 1 << 30;

impl<L: Deref<Target = u64>, T: Time, U: Deref<Target = T>> DirectedChannelLiquidity<L, T, U> {
/// Returns a penalty for routing the given HTLC `amount_msat` through the channel in this
/// direction.
/// Returns a liquidity penalty for routing the given HTLC `amount_msat` through the channel in
/// this direction.
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);
Expand All @@ -625,8 +639,8 @@ impl<L: Deref<Target = u64>, T: Time, U: Deref<Target = T>> DirectedChannelLiqui
if amount_msat - min_liquidity_msat < 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
// particularly helpful, instead just round down to 0 and return the base penalty.
params.base_penalty_msat
// particularly helpful, instead just round down to 0.
0
} else {
let negative_log10_times_2048 =
approx::negative_log10_times_2048(numerator, denominator);
Expand All @@ -651,9 +665,7 @@ impl<L: Deref<Target = u64>, T: Time, U: Deref<Target = T>> DirectedChannelLiqui
.saturating_mul(params.amount_penalty_multiplier_msat)
.saturating_mul(amount_msat) / 2048 / AMOUNT_PENALTY_DIVISOR;

params.base_penalty_msat
.saturating_add(liquidity_penalty_msat)
.saturating_add(amount_penalty_msat)
liquidity_penalty_msat.saturating_add(amount_penalty_msat)
}

/// Returns the lower bound of the channel liquidity balance in this direction.
Expand Down Expand Up @@ -735,13 +747,17 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> Score for Probabilis
return u64::max_value();
}

let base_penalty_msat = self.params.base_penalty_msat.saturating_add(
self.params.base_penalty_amount_multiplier_msat
.saturating_mul(usage.amount_msat) / BASE_AMOUNT_PENALTY_DIVISOR);

let mut anti_probing_penalty_msat = 0;
match usage.effective_capacity {
EffectiveCapacity::ExactLiquidity { liquidity_msat } => {
if usage.amount_msat > liquidity_msat {
return u64::max_value();
} else {
return self.params.base_penalty_msat;
return base_penalty_msat;
}
},
EffectiveCapacity::Total { capacity_msat, htlc_maximum_msat: Some(htlc_maximum_msat) } => {
Expand All @@ -762,6 +778,7 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> Score for Probabilis
.as_directed(source, target, capacity_msat, liquidity_offset_half_life)
.penalty_msat(amount_msat, &self.params)
.saturating_add(anti_probing_penalty_msat)
.saturating_add(base_penalty_msat)
}

fn payment_path_failed(&mut self, path: &[&RouteHop], short_channel_id: u64) {
Expand Down Expand Up @@ -2024,47 +2041,47 @@ mod tests {
inflight_htlc_msat: 0,
effective_capacity: EffectiveCapacity::Total { capacity_msat: 950_000_000, htlc_maximum_msat: Some(1_000) },
};
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 3613);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 4375);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1977);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 2739);
let usage = ChannelUsage {
effective_capacity: EffectiveCapacity::Total { capacity_msat: 2_950_000_000, htlc_maximum_msat: Some(1_000) }, ..usage
};
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1474);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 2236);
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), 1223);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1985);
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), 877);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1639);
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), 845);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1607);
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), 500);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
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), 500);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
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), 500);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
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), 500);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
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), 500);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 1262);
}

#[test]
Expand Down Expand Up @@ -2092,6 +2109,15 @@ mod tests {
};
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()
};

let scorer = ProbabilisticScorer::new(params, &network_graph, &logger);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 558 + 128);
}

#[test]
Expand Down

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