routing+lnrpc: make capacity factor configurable

We make the capacity factor configurable via an lnd.conf routerrpc
apriori parameter. The capacity factor trades off increased success
probability with a reduced set of channel candidates, which may lead to
increased fees. To let users choose whether the factor is active or not,
we add a config setting where a capacity fraction of 1.0 disables the
factor. We limit the capacity fraction to values between 0.75 and 1.0.
Lower values may discard too many channels.

routing/integrated_routing_context_test.go

@@ -73,6 +73,7 @@ func newIntegratedRoutingContext(t *testing.T) *integratedRoutingContext {
 		PenaltyHalfLife:       30 * time.Minute,
 		AprioriHopProbability: 0.6,
 		AprioriWeight:         0.5,
+		CapacityFraction:      testCapacityFraction,
 	}
 	estimator, err := NewAprioriEstimator(aCfg)
 	require.NoError(t, err)

routing/missioncontrol_test.go

@@ -94,6 +94,7 @@ func (ctx *mcTestContext) restartMc() {
 		PenaltyHalfLife:       testPenaltyHalfLife,
 		AprioriHopProbability: testAprioriHopProbability,
 		AprioriWeight:         testAprioriWeight,
+		CapacityFraction:      testCapacityFraction,
 	}
 	estimator, err := NewAprioriEstimator(aCfg)
 	require.NoError(ctx.t, err)

routing/probability_apriori.go

@@ -12,11 +12,11 @@ import (
 )
 
 const (
-	// capacityCutoffFraction and capacitySmearingFraction define how
-	// capacity-related probability reweighting works.
-	// capacityCutoffFraction defines the fraction of the channel capacity
-	// at which the effect roughly sets in and capacitySmearingFraction
-	// defines over which range the factor changes from 1 to 0.
+	// CapacityFraction and capacitySmearingFraction define how
+	// capacity-related probability reweighting works. CapacityFraction
+	// defines the fraction of the channel capacity at which the effect
+	// roughly sets in and capacitySmearingFraction defines over which range
+	// the factor changes from 1 to 0.
 	//
 	// We may fall below the minimum required probability
 	// (DefaultMinRouteProbability) when the amount comes close to the
@@ -34,19 +34,23 @@ const (
 	// fulfill the requirement with capacityFactor(cap, cap) ~ 0.076 (see
 	// tests).
 
-	// The capacityCutoffFraction is a trade-off between usage of the
-	// provided capacity and expected probability reduction when we send the
-	// full amount. The success probability in the random balance model can
-	// be approximated with P(a) = 1 - a/c, for amount a and capacity c. If
-	// we require a probability P(a) > 0.25, this translates into a value of
-	// 0.75 for a/c.
-	capacityCutoffFraction = 0.75
+	// DefaultCapacityFraction is the default value for CapacityFraction.
+	DefaultCapacityFraction = 0.75
 
 	// We don't want to have a sharp drop of the capacity factor to zero at
 	// capacityCutoffFraction, but a smooth smearing such that some residual
 	// probability is left when spending the whole amount, see above.
 	capacitySmearingFraction = 0.1
 
+	// minCapacityFraction is the minimum allowed value for
+	// CapacityFraction. The success probability in the random balance model
+	// (which may not be an accurate description of the liquidity
+	// distribution in the network) can be approximated with P(a) = 1 - a/c,
+	// for amount a and capacity c. If we require a probability P(a) = 0.25,
+	// this translates into a value of 0.75 for a/c. We limit this value in
+	// order to not discard too many channels.
+	minCapacityFraction = 0.75
+
 	// AprioriEstimatorName is used to identify the apriori probability
 	// estimator.
 	AprioriEstimatorName = "apriori"
@@ -64,6 +68,11 @@ var (
 	// ErrInvalidAprioriWeight is returned when we get an apriori weight
 	// that is out of range.
 	ErrInvalidAprioriWeight = errors.New("apriori weight must be in [0, 1]")
+
+	// ErrInvalidCapacityFraction is returned when we get a capacity
+	// fraction that is out of range.
+	ErrInvalidCapacityFraction = fmt.Errorf("capacity fraction must be in "+
+		"[%v, 1]", minCapacityFraction)
 )
 
 // AprioriConfig contains configuration for our probability estimator.
@@ -84,6 +93,12 @@ type AprioriConfig struct {
 	// probability completely and only base the probability on historical
 	// results, unless there are none available.
 	AprioriWeight float64
+
+	// CapacityFraction is the fraction of a channel's capacity that we
+	// consider to have liquidity. For amounts that come close to or exceed
+	// the fraction, an additional penalty is applied. A value of 1.0
+	// disables the capacityFactor.
+	CapacityFraction float64
 }
 
 // validate checks the configuration of the estimator for allowed values.
@@ -100,6 +115,10 @@ func (p AprioriConfig) validate() error {
 		return ErrInvalidAprioriWeight
 	}
 
+	if p.CapacityFraction < minCapacityFraction || p.CapacityFraction > 1 {
+		return ErrInvalidCapacityFraction
+	}
+
 	return nil
 }
 
@@ -109,6 +128,7 @@ func DefaultAprioriConfig() AprioriConfig {
 		PenaltyHalfLife:       DefaultPenaltyHalfLife,
 		AprioriHopProbability: DefaultAprioriHopProbability,
 		AprioriWeight:         DefaultAprioriWeight,
+		CapacityFraction:      DefaultCapacityFraction,
 	}
 }
 
@@ -155,9 +175,10 @@ func (p *AprioriEstimator) Config() estimatorConfig {
 func (p *AprioriEstimator) String() string {
 	return fmt.Sprintf("estimator type: %v, penalty halflife time: %v, "+
 		"apriori hop probability: %v, apriori weight: %v, previous "+
-		"success probability: %v", AprioriEstimatorName,
-		p.PenaltyHalfLife, p.AprioriHopProbability, p.AprioriWeight,
-		p.prevSuccessProbability)
+		"success probability: %v, capacity fraction: %v",
+		AprioriEstimatorName, p.PenaltyHalfLife,
+		p.AprioriHopProbability, p.AprioriWeight,
+		p.prevSuccessProbability, p.CapacityFraction)
 }
 
 // getNodeProbability calculates the probability for connections from a node
@@ -169,7 +190,9 @@ func (p *AprioriEstimator) getNodeProbability(now time.Time,
 
 	// We reduce the apriori hop probability if the amount comes close to
 	// the capacity.
-	apriori := p.AprioriHopProbability * capacityFactor(amt, capacity)
+	apriori := p.AprioriHopProbability * capacityFactor(
+		amt, capacity, p.CapacityFraction,
+	)
 
 	// If the channel history is not to be taken into account, we can return
 	// early here with the configured a priori probability.
@@ -246,7 +269,15 @@ func (p *AprioriEstimator) getWeight(age time.Duration) float64 {
 // and 0 for amt >> cutoffMsat. The function drops significantly when amt
 // reaches cutoffMsat. smearingMsat determines over which scale the reduction
 // takes place.
-func capacityFactor(amt lnwire.MilliSatoshi, capacity btcutil.Amount) float64 {
+func capacityFactor(amt lnwire.MilliSatoshi, capacity btcutil.Amount,
+	capacityCutoffFraction float64) float64 {
+
+	// The special value of 1.0 for capacityFactor disables any effect from
+	// this factor.
+	if capacityCutoffFraction == 1 {
+		return 1.0
+	}
+
 	// If we don't have information about the capacity, which can be the
 	// case for hop hints or local channels, we return unity to not alter
 	// anything.

routing/probability_apriori_test.go

@@ -27,8 +27,9 @@ const (
 	aprioriPrevSucProb = 0.95
 
 	// testCapacity is used to define a capacity for some channels.
-	testCapacity = btcutil.Amount(100_000)
-	testAmount   = lnwire.MilliSatoshi(50_000_000)
+	testCapacity         = btcutil.Amount(100_000)
+	testAmount           = lnwire.MilliSatoshi(50_000_000)
+	testCapacityFraction = 0.75
 
 	// Defines the capacityFactor for testAmount and testCapacity.
 	capFactor = 0.9241
@@ -53,6 +54,7 @@ func newEstimatorTestContext(t *testing.T) *estimatorTestContext {
 				AprioriHopProbability: aprioriHopProb,
 				AprioriWeight:         aprioriWeight,
 				PenaltyHalfLife:       time.Hour,
+				CapacityFraction:      testCapacityFraction,
 			},
 			prevSuccessProbability: aprioriPrevSucProb,
 		},
@@ -227,49 +229,65 @@ func TestCapacityCutoff(t *testing.T) {
 	capacityMSat := capacitySat * 1000
 
 	tests := []struct {
-		name           string
-		amountMsat     int
-		expectedFactor float64
+		name             string
+		capacityFraction float64
+		amountMsat       int
+		expectedFactor   float64
 	}{
+		// Minimal CapacityFraction of 0.75.
 		{
-			name:           "zero amount",
-			expectedFactor: 1,
+			name:             "zero amount",
+			capacityFraction: 0.75,
+			expectedFactor:   1,
 		},
 		{
-			name:           "low amount",
-			amountMsat:     capacityMSat / 10,
-			expectedFactor: 0.998,
+			name:             "low amount",
+			capacityFraction: 0.75,
+			amountMsat:       capacityMSat / 10,
+			expectedFactor:   0.998,
 		},
 		{
-			name:           "half amount",
-			amountMsat:     capacityMSat / 2,
-			expectedFactor: 0.924,
+			name:             "half amount",
+			capacityFraction: 0.75,
+			amountMsat:       capacityMSat / 2,
+			expectedFactor:   0.924,
 		},
 		{
-			name: "cutoff amount",
+			name:             "cutoff amount",
+			capacityFraction: 0.75,
 			amountMsat: int(
-				capacityCutoffFraction * float64(capacityMSat),
+				0.75 * float64(capacityMSat),
 			),
 			expectedFactor: 0.5,
 		},
 		{
-			name:           "high amount",
-			amountMsat:     capacityMSat * 80 / 100,
-			expectedFactor: 0.377,
+			name:             "high amount",
+			capacityFraction: 0.75,
+			amountMsat:       capacityMSat * 80 / 100,
+			expectedFactor:   0.377,
 		},
 		{
 			// Even when we spend the full capacity, we still want
 			// to have some residual probability to not throw away
 			// routes due to a min probability requirement of the
 			// whole path.
-			name:           "full amount",
-			amountMsat:     capacityMSat,
-			expectedFactor: 0.076,
+			name:             "full amount",
+			capacityFraction: 0.75,
+			amountMsat:       capacityMSat,
+			expectedFactor:   0.076,
 		},
 		{
-			name:           "more than capacity",
-			amountMsat:     capacityMSat + 1,
-			expectedFactor: 0.0,
+			name:             "more than capacity",
+			capacityFraction: 0.75,
+			amountMsat:       capacityMSat + 1,
+			expectedFactor:   0.0,
+		},
+		// Inactive capacity factor.
+		{
+			name:             "inactive capacity factor",
+			capacityFraction: 1.0,
+			amountMsat:       capacityMSat,
+			expectedFactor:   1.00,
 		},
 	}
 
@@ -282,6 +300,7 @@ func TestCapacityCutoff(t *testing.T) {
 			got := capacityFactor(
 				lnwire.MilliSatoshi(test.amountMsat),
 				btcutil.Amount(capacitySat),
+				test.capacityFraction,
 			)
 			require.InDelta(t, test.expectedFactor, got, 0.001)
 		})

routing/router_test.go

@@ -123,6 +123,7 @@ func createTestCtxFromGraphInstanceAssumeValid(t *testing.T,
 		PenaltyHalfLife:       time.Hour,
 		AprioriHopProbability: 0.9,
 		AprioriWeight:         0.5,
+		CapacityFraction:      testCapacityFraction,
 	}
 	estimator, err := NewAprioriEstimator(aCfg)
 	require.NoError(t, err)