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Split success_probability calculation into two separate methods
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In the next commit we'll want to return floats or ints from
`success_probability` depending on the callsite, so instead of
duplicating the calculation logic, here we split the linear (which
always uses int math) and nonlinear (which always uses float math)
into separate methods, allowing us to write trivial
`success_probability` wrappers that return the desired type.
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@TheBlueMatt
TheBlueMatt committed Dec 19, 2024
1 parent cd33ade commit 85afe25
Showing 1 changed file with 82 additions and 46 deletions.
128 changes: 82 additions & 46 deletions lightning/src/routing/scoring.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -1154,6 +1154,71 @@ fn three_f64_pow_9(a: f64, b: f64, c: f64) -> (f64, f64, f64) {
(a * a4 * a4, b * b4 * b4, c * c4 * c4)
}

/// If we have no knowledge of the channel, we scale probability down by a multiple of ~82% for the
/// historical model by multiplying the denominator of a success probability by this before
/// dividing by 64.
///
/// This number (as well as the PDF) was picked experimentally on probing results to maximize the
/// log-loss of succeeding and failing hops.
///
/// Note that we prefer to increase the denominator rather than decrease the numerator as the
/// denominator is more likely to be larger and thus provide greater precision. This is mostly an
/// overoptimization but makes a large difference in tests.
const MIN_ZERO_IMPLIES_NO_SUCCESSES_PENALTY_ON_64: u64 = 78;

#[inline(always)]
fn linear_success_probability(
total_inflight_amount_msat: u64, min_liquidity_msat: u64, max_liquidity_msat: u64,
min_zero_implies_no_successes: bool,
) -> (u64, u64) {
let (numerator, mut denominator) =
(max_liquidity_msat - total_inflight_amount_msat,
(max_liquidity_msat - min_liquidity_msat).saturating_add(1));

if min_zero_implies_no_successes && min_liquidity_msat == 0 &&
denominator < u64::max_value() / MIN_ZERO_IMPLIES_NO_SUCCESSES_PENALTY_ON_64
{
denominator = denominator * MIN_ZERO_IMPLIES_NO_SUCCESSES_PENALTY_ON_64 / 64
}

(numerator, denominator)
}

/// Returns a (numerator, denominator) pair each between 0 and 0.0078125, inclusive.
#[inline(always)]
fn nonlinear_success_probability(
total_inflight_amount_msat: u64, min_liquidity_msat: u64, max_liquidity_msat: u64,
capacity_msat: u64, min_zero_implies_no_successes: bool,
) -> (f64, f64) {
let capacity = capacity_msat as f64;
let max = (max_liquidity_msat as f64) / capacity;
let min = (min_liquidity_msat as f64) / capacity;
let amount = (total_inflight_amount_msat as f64) / capacity;

// Assume the channel has a probability density function of
// `128 * (1/256 + 9*(x - 0.5)^8)` for values from 0 to 1 (where 1 is the channel's
// full capacity). The success probability given some liquidity bounds is thus the
// integral under the curve from the amount to maximum estimated liquidity, divided by
// the same integral from the minimum to the maximum estimated liquidity bounds.
//
// Because the integral from x to y is simply
// `128*(1/256 * (y - 0.5) + (y - 0.5)^9) - 128*(1/256 * (x - 0.5) + (x - 0.5)^9), we
// can calculate the cumulative density function between the min/max bounds trivially.
// Note that we don't bother to normalize the CDF to total to 1 (using the 128
// multiple), as it will come out in the division of num / den.
let (max_norm, min_norm, amt_norm) = (max - 0.5, min - 0.5, amount - 0.5);
let (max_pow, min_pow, amt_pow) = three_f64_pow_9(max_norm, min_norm, amt_norm);
let (max_v, min_v, amt_v) = (max_pow + max_norm / 256.0, min_pow + min_norm / 256.0, amt_pow + amt_norm / 256.0);
let mut denominator = max_v - min_v;
let numerator = max_v - amt_v;

if min_zero_implies_no_successes && min_liquidity_msat == 0 {
denominator = denominator * (MIN_ZERO_IMPLIES_NO_SUCCESSES_PENALTY_ON_64 as f64) / 64.0;
}

(numerator, denominator)
}

/// Given liquidity bounds, calculates the success probability (in the form of a numerator and
/// denominator) of an HTLC. This is a key assumption in our scoring models.
///
Expand All @@ -1174,54 +1239,25 @@ fn success_probability(
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 - 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 = (total_inflight_amount_msat as f64) / capacity;

// Assume the channel has a probability density function of
// `128 * (1/256 + 9*(x - 0.5)^8)` for values from 0 to 1 (where 1 is the channel's
// full capacity). The success probability given some liquidity bounds is thus the
// integral under the curve from the amount to maximum estimated liquidity, divided by
// the same integral from the minimum to the maximum estimated liquidity bounds.
//
// Because the integral from x to y is simply
// `128*(1/256 * (y - 0.5) + (y - 0.5)^9) - 128*(1/256 * (x - 0.5) + (x - 0.5)^9), we
// can calculate the cumulative density function between the min/max bounds trivially.
// Note that we don't bother to normalize the CDF to total to 1 (using the 128
// multiple), as it will come out in the division of num / den.
let (max_norm, amt_norm, min_norm) = (max - 0.5, amount - 0.5, min - 0.5);
let (max_pow, amt_pow, min_pow) = three_f64_pow_9(max_norm, amt_norm, min_norm);
let (max_v, amt_v, min_v) = (max_pow + max_norm / 256.0, amt_pow + amt_norm / 256.0, min_pow + min_norm / 256.0);
let num = max_v - amt_v;
let den = max_v - min_v;

// Because our numerator and denominator max out at 0.0078125 we need to multiply them
// by quite a large factor to get something useful (ideally in the 2^30 range).
const BILLIONISH: f64 = 1024.0 * 1024.0 * 1024.0 * 64.0;
let numerator = (num * BILLIONISH) as u64 + 1;
let denominator = (den * BILLIONISH) as u64 + 1;
debug_assert!(numerator <= 1 << 30, "Got large numerator ({}) from float {}.", numerator, num);
debug_assert!(denominator <= 1 << 30, "Got large denominator ({}) from float {}.", denominator, den);
(numerator, denominator)
};
if params.linear_success_probability {
linear_success_probability(total_inflight_amount_msat, min_liquidity_msat, max_liquidity_msat, min_zero_implies_no_successes)
} else {
// We calculate the nonlinear probabilities using floats anyway, so just stub out to
// the float version and then convert to integers.
let (num, den) = nonlinear_success_probability(
total_inflight_amount_msat, min_liquidity_msat, max_liquidity_msat, capacity_msat,
min_zero_implies_no_successes,
);

if min_zero_implies_no_successes && min_liquidity_msat == 0 &&
denominator < u64::max_value() / 78
{
// If we have no knowledge of the channel, scale probability down by a multiple of ~82%.
// Note that we prefer to increase the denominator rather than decrease the numerator as
// the denominator is more likely to be larger and thus provide greater precision. This is
// mostly an overoptimization but makes a large difference in tests.
denominator = denominator * 78 / 64
// Because our numerator and denominator max out at 0.0078125 we need to multiply them
// by quite a large factor to get something useful (ideally in the 2^30 range).
const BILLIONISH: f64 = 1024.0 * 1024.0 * 1024.0 * 64.0;
let numerator = (num * BILLIONISH) as u64 + 1;
let denominator = (den * BILLIONISH) as u64 + 1;
debug_assert!(numerator <= 1 << 30, "Got large numerator ({}) from float {}.", numerator, num);
debug_assert!(denominator <= 1 << 30, "Got large denominator ({}) from float {}.", denominator, den);
(numerator, denominator)
}

(numerator, denominator)
}

impl<L: Deref<Target = u64>, HT: Deref<Target = HistoricalLiquidityTracker>, T: Deref<Target = Duration>>
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