Implement Branch and Bound coin selection in a new file

Create a new file for coin selection logic and implement the BnB algorithm in it.

5 files changed, 184 insertions, 0 deletions

diff --git a/src/Makefile.am b/src/Makefile.am
index 0a9370c85c..7c2fe56d9d 100644
--- a/src/Makefile.am
+++ b/src/Makefile.am
@@ -172,6 +172,7 @@ BITCOIN_CORE_H = \
   wallet/wallet.h \
   wallet/walletdb.h \
   wallet/walletutil.h \
+  wallet/coinselection.h \
   warnings.h \
   zmq/zmqabstractnotifier.h \
   zmq/zmqconfig.h\
@@ -253,6 +254,7 @@ libbitcoin_wallet_a_SOURCES = \
   wallet/wallet.cpp \
   wallet/walletdb.cpp \
   wallet/walletutil.cpp \
+  wallet/coinselection.cpp \
   $(BITCOIN_CORE_H)
 
 # crypto primitives library
diff --git a/src/wallet/coinselection.cpp b/src/wallet/coinselection.cpp
new file mode 100644
index 0000000000..05bcdc12bb
--- /dev/null
+++ b/src/wallet/coinselection.cpp
@@ -0,0 +1,165 @@
+// Copyright (c) 2017 The Bitcoin Core developers
+// Distributed under the MIT software license, see the accompanying
+// file COPYING or http://www.opensource.org/licenses/mit-license.php.
+
+#include <wallet/coinselection.h>
+#include <util.h>
+#include <utilmoneystr.h>
+
+// Descending order comparator
+struct {
+    bool operator()(const CInputCoin& a, const CInputCoin& b) const
+    {
+        return a.effective_value > b.effective_value;
+    }
+} descending;
+
+/*
+ * This is the Branch and Bound Coin Selection algorithm designed by Murch. It searches for an input
+ * set that can pay for the spending target and does not exceed the spending target by more than the
+ * cost of creating and spending a change output. The algorithm uses a depth-first search on a binary
+ * tree. In the binary tree, each node corresponds to the inclusion or the omission of a UTXO. UTXOs
+ * are sorted by their effective values and the trees is explored deterministically per the inclusion
+ * branch first. At each node, the algorithm checks whether the selection is within the target range.
+ * While the selection has not reached the target range, more UTXOs are included. When a selection's
+ * value exceeds the target range, the complete subtree deriving from this selection can be omitted.
+ * At that point, the last included UTXO is deselected and the corresponding omission branch explored
+ * instead. The search ends after the complete tree has been searched or after a limited number of tries.
+ *
+ * The search continues to search for better solutions after one solution has been found. The best
+ * solution is chosen by minimizing the waste metric. The waste metric is defined as the cost to
+ * spend the current inputs at the given fee rate minus the long term expected cost to spend the
+ * inputs, plus the amount the selection exceeds the spending target:
+ *
+ * waste = selectionTotal - target + inputs × (currentFeeRate - longTermFeeRate)
+ *
+ * The algorithm uses two additional optimizations. A lookahead keeps track of the total value of
+ * the unexplored UTXOs. A subtree is not explored if the lookahead indicates that the target range
+ * cannot be reached. Further, it is unnecessary to test equivalent combinations. This allows us
+ * to skip testing the inclusion of UTXOs that match the effective value and waste of an omitted
+ * predecessor.
+ *
+ * The Branch and Bound algorithm is described in detail in Murch's Master Thesis:
+ * https://murch.one/wp-content/uploads/2016/11/erhardt2016coinselection.pdf
+ *
+ * @param const std::vector<CInputCoin>& utxo_pool The set of UTXOs that we are choosing from.
+ *        These UTXOs will be sorted in descending order by effective value and the CInputCoins'
+ *        values are their effective values.
+ * @param const CAmount& target_value This is the value that we want to select. It is the lower
+ *        bound of the range.
+ * @param const CAmount& cost_of_change This is the cost of creating and spending a change output.
+ *        This plus target_value is the upper bound of the range.
+ * @param std::set<CInputCoin>& out_set -> This is an output parameter for the set of CInputCoins
+ *        that have been selected.
+ * @param CAmount& value_ret -> This is an output parameter for the total value of the CInputCoins
+ *        that were selected.
+ * @param CAmount not_input_fees -> The fees that need to be paid for the outputs and fixed size
+ *        overhead (version, locktime, marker and flag)
+ */
+
+static const size_t TOTAL_TRIES = 100000;
+
+bool SelectCoinsBnB(std::vector<CInputCoin>& utxo_pool, const CAmount& target_value, const CAmount& cost_of_change, std::set<CInputCoin>& out_set, CAmount& value_ret, CAmount not_input_fees)
+{
+    out_set.clear();
+    CAmount curr_value = 0;
+
+    std::vector<bool> curr_selection; // select the utxo at this index
+    curr_selection.reserve(utxo_pool.size());
+    CAmount actual_target = not_input_fees + target_value;
+
+    // Calculate curr_available_value
+    CAmount curr_available_value = 0;
+    for (const CInputCoin& utxo : utxo_pool) {
+        // Assert that this utxo is not negative. It should never be negative, effective value calculation should have removed it
+        assert(utxo.effective_value > 0);
+        curr_available_value += utxo.effective_value;
+    }
+    if (curr_available_value < actual_target) {
+        return false;
+    }
+
+    // Sort the utxo_pool
+    std::sort(utxo_pool.begin(), utxo_pool.end(), descending);
+
+    CAmount curr_waste = 0;
+    std::vector<bool> best_selection;
+    CAmount best_waste = MAX_MONEY;
+
+    // Depth First search loop for choosing the UTXOs
+    for (size_t i = 0; i < TOTAL_TRIES; ++i) {
+        // Conditions for starting a backtrack
+        bool backtrack = false;
+        if (curr_value + curr_available_value < actual_target ||                // Cannot possibly reach target with the amount remaining in the curr_available_value.
+            curr_value > actual_target + cost_of_change ||    // Selected value is out of range, go back and try other branch
+            (curr_waste > best_waste && (utxo_pool.at(0).fee - utxo_pool.at(0).long_term_fee) > 0)) { // Don't select things which we know will be more wasteful if the waste is increasing
+            backtrack = true;
+        } else if (curr_value >= actual_target) {       // Selected value is within range
+            curr_waste += (curr_value - actual_target); // This is the excess value which is added to the waste for the below comparison
+            // Adding another UTXO after this check could bring the waste down if the long term fee is higher than the current fee.
+            // However we are not going to explore that because this optimization for the waste is only done when we have hit our target
+            // value. Adding any more UTXOs will be just burning the UTXO; it will go entirely to fees. Thus we aren't going to
+            // explore any more UTXOs to avoid burning money like that.
+            if (curr_waste <= best_waste) {
+                best_selection = curr_selection;
+                best_selection.resize(utxo_pool.size());
+                best_waste = curr_waste;
+            }
+            curr_waste -= (curr_value - actual_target); // Remove the excess value as we will be selecting different coins now
+            backtrack = true;
+        }
+
+        // Backtracking, moving backwards
+        if (backtrack) {
+            // Walk backwards to find the last included UTXO that still needs to have its omission branch traversed.
+            while (!curr_selection.empty() && !curr_selection.back()) {
+                curr_selection.pop_back();
+                curr_available_value += utxo_pool.at(curr_selection.size()).effective_value;
+            };
+
+            if (curr_selection.empty()) { // We have walked back to the first utxo and no branch is untraversed. All solutions searched
+                break;
+            }
+
+            // Output was included on previous iterations, try excluding now.
+            curr_selection.back() = false;
+            CInputCoin& utxo = utxo_pool.at(curr_selection.size() - 1);
+            curr_value -= utxo.effective_value;
+            curr_waste -= utxo.fee - utxo.long_term_fee;
+        } else { // Moving forwards, continuing down this branch
+            CInputCoin& utxo = utxo_pool.at(curr_selection.size());
+
+            // Remove this utxo from the curr_available_value utxo amount
+            curr_available_value -= utxo.effective_value;
+
+            // Avoid searching a branch if the previous UTXO has the same value and same waste and was excluded. Since the ratio of fee to
+            // long term fee is the same, we only need to check if one of those values match in order to know that the waste is the same.
+            if (!curr_selection.empty() && !curr_selection.back() &&
+                utxo.effective_value == utxo_pool.at(curr_selection.size() - 1).effective_value &&
+                utxo.fee == utxo_pool.at(curr_selection.size() - 1).fee) {
+                curr_selection.push_back(false);
+            } else {
+                // Inclusion branch first (Largest First Exploration)
+                curr_selection.push_back(true);
+                curr_value += utxo.effective_value;
+                curr_waste += utxo.fee - utxo.long_term_fee;
+            }
+        }
+    }
+
+    // Check for solution
+    if (best_selection.empty()) {
+        return false;
+    }
+
+    // Set output set
+    value_ret = 0;
+    for (size_t i = 0; i < best_selection.size(); ++i) {
+        if (best_selection.at(i)) {
+            out_set.insert(utxo_pool.at(i));
+            value_ret += utxo_pool.at(i).txout.nValue;
+        }
+    }
+
+    return true;
+}
diff --git a/src/wallet/coinselection.h b/src/wallet/coinselection.h
new file mode 100644
index 0000000000..a98f1cc7c1
--- /dev/null
+++ b/src/wallet/coinselection.h
@@ -0,0 +1,15 @@
+// Copyright (c) 2017 The Bitcoin Core developers
+// Distributed under the MIT software license, see the accompanying
+// file COPYING or http://www.opensource.org/licenses/mit-license.php.
+
+#ifndef BITCOIN_COINSELECTION_H
+#define BITCOIN_COINSELECTION_H
+
+#include <amount.h>
+#include <primitives/transaction.h>
+#include <random.h>
+#include <wallet/wallet.h>
+
+bool SelectCoinsBnB(std::vector<CInputCoin>& utxo_pool, const CAmount& target_value, const CAmount& cost_of_change, std::set<CInputCoin>& out_set, CAmount& value_ret, CAmount not_input_fees);
+
+#endif // BITCOIN_COINSELECTION_H
diff --git a/src/wallet/wallet.cpp b/src/wallet/wallet.cpp
index a739077a31..e797a63dd8 100644
--- a/src/wallet/wallet.cpp
+++ b/src/wallet/wallet.cpp
@@ -8,6 +8,7 @@
 #include <checkpoints.h>
 #include <chain.h>
 #include <wallet/coincontrol.h>
+#include <wallet/coinselection.h>
 #include <consensus/consensus.h>
 #include <consensus/validation.h>
 #include <fs.h>
diff --git a/src/wallet/wallet.h b/src/wallet/wallet.h
index 89dc4f399c..a2fab3c88e 100644
--- a/src/wallet/wallet.h
+++ b/src/wallet/wallet.h
@@ -509,6 +509,7 @@ public:
 
         outpoint = COutPoint(walletTx->GetHash(), i);
         txout = walletTx->tx->vout[i];
+        effective_value = txout.nValue;
     }
 
     COutPoint outpoint;