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feat(metrics): add ChangelessWaste for privacy-driven coin selection#47

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feat(metrics): add ChangelessWaste for privacy-driven coin selection#47
evanlinjin wants to merge 4 commits into
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evanlinjin:changeless-waste-metric

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@evanlinjin evanlinjin commented May 19, 2026

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Summary

Adds ChangelessWaste, a BnB metric that minimises the waste metric subject to the constraint that the selection produces no change output.

The use case is privacy-driven coin selection — CoinJoin / PayJoin / send-to-one-shot addresses where the change output is itself a leak. This matches what Bitcoin Core's BnB-CB algorithm covers. We deliberately don't expose a cross-regime Waste metric (see Why no general Waste metric? below).

This branch is rebased onto the current master, which landed two breaking refactors the metric now conforms to:

  • Target is passed to BnbMetric methods per-call instead of stored on the metric.
  • Metrics decide their own change output (BnbMetric::drain) rather than taking a ChangePolicy.

Public additions

ChangelessWaste — like LowestFee, it owns its change decision instead of taking a ChangePolicy. Fields: long_term_feerate, dust_relay_feerate, drain_weights. It uses the same rule as LowestFee to decide whether a selection would have change (change is worthwhile when the recovered excess exceeds the future spend cost and clears the dust threshold), and rejects any such selection — only genuinely changeless selections are scored. drain() returns Drain::NONE by definition.

For a changeless selection the waste collapses to input_weight * (feerate - long_term_feerate) + max(0, excess), which (unlike the general with-change waste) is monotone, so the bound reduces to bounding D.input_weight for any target-meeting descendant D ⊇ cs:

  • rate_diff >= 0: lower-bound D.input_weightcs.input_weight() when the target is already met, otherwise the resize trick (below).
  • rate_diff < 0: upper-bound D.input_weight via an LP-relaxed fractional knapsack over the positive-effective_value candidates that must be excluded to keep the selection changeless (i.e. to keep excess_with_drain_weight <= max(drain_spend_cost, dust_threshold - 1)).

Branches where every reachable descendant is forced to have change are pruned via change_unavoidable (the same heuristic Changeless uses).

Includes proptests can_eventually_find_best_solution (finds the true optimum) and ensure_bound_is_not_too_tight (the bound is a valid lower bound), plus two hand-written regime sanity checks.

Internal cleanup

LowestFee::bound and ChangelessWaste::bound shared the same "resize trick" — walk the value_pwu-sorted unselected list until the target is crossed, then fractionally resize the crossing input so the target is hit with zero excess. Extracted into a single private helper in src/metrics.rs:

  • resize_bound returns a ResizeBound enum (Exact | Resize) so each caller keeps its own exact-match computation — LowestFee returns score, ChangelessWaste returns waste — while sharing the find + deselect + scale mechanism. No behavior change for LowestFee (verified by its existing proptests).

Bound tightening for ChangelessWaste (rate_diff < 0)

The consolidation case (rate_diff < 0) previously used a trivial all_selected.input_weight * rate_diff upper bound, which ignores that selecting every candidate would typically force a change output. The LP-relaxed knapsack UB is dramatically tighter:

n scenario trivial UB LP knapsack
15 rate_diff_neg 3,590 415
20 rate_diff_neg 34,296 2,138
30 rate_diff_neg 2M (cap) 74,055

(round counts, BnB cap 2M). rate_diff >= 0 paths are unchanged.

Why no general Waste metric?

Earlier iterations included a cross-regime Waste metric scoring both changeless and with-change selections. It was dropped because:

  • The bound is genuinely hard. With change allowed, waste is non-monotonic and discontinuous: adding inputs raises waste in the changeless regime (excess is burned to fee), then it drops when the excess crosses the threshold where a change output becomes worthwhile. A valid, tight BnB lower bound has to span both regimes and the flip between them. Constraining to changeless removes that discontinuity — which is the whole reason ChangelessWaste has a clean bound.
  • It over-consolidates. When long_term_feerate > feerate (a common low-fee scenario) every input has negative waste contribution, so the unconstrained BnB optimum is "select every UTXO" — rarely what a caller wants.
  • Core uses waste as a tiebreaker, not as the BnB objective. The legitimate use cases — tiebreaking equally-cheap fee solutions, and finding good changeless candidates — don't need the cross-regime bound; the latter is exactly ChangelessWaste.

Note ChangelessWaste is a standalone metric (not Changeless<Waste>) precisely because its value is the custom tight input_weight-based bound — composing a general Waste metric would mean building that hard cross-regime bound only to constrain it away.

Test plan

  • cargo test --release — full suite passes (40 tests incl. lib + doctests), notably the ensure_bound_is_not_too_tight and can_eventually_find_best_solution proptests for both ChangelessWaste and LowestFee.
  • cargo clippy --all-targets --all-features — clean.
  • cargo fmt --all --check — clean.
  • cargo doc --no-deps with -D warnings — clean.

🤖 Generated with Claude Code

@evanlinjin evanlinjin force-pushed the changeless-waste-metric branch 3 times, most recently from 8606b6f to bbaf01b Compare May 20, 2026 03:38
@evanlinjin evanlinjin changed the title feat(metrics): add Waste, ChangelessWaste, ChangelessLowestFee + tighten changeless bound feat(metrics): add ChangelessWaste for privacy-driven coin selection May 20, 2026
@evanlinjin evanlinjin force-pushed the changeless-waste-metric branch 3 times, most recently from d03543f to a52499b Compare May 21, 2026 10:00
Adds a waste metric restricted to changeless selections. Removing the
change output from the picture eliminates the non-monotonic discontinuity
that complicates the general waste bound, so the LB reduces to a lower
bound on `input_weight * (feerate - long_term_feerate)`. For target-not-met,
rate_diff >= 0 we reuse LowestFee::bound's resize trick applied to
input_weight rather than fee.

Includes proptests `can_eventually_find_best_solution` and
`ensure_bound_is_not_too_tight`.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
@evanlinjin evanlinjin force-pushed the changeless-waste-metric branch from a52499b to 9dd8f8f Compare July 2, 2026 15:59
evanlinjin and others added 2 commits July 2, 2026 16:30
The previous bound for `rate_diff < 0` was `all_selected.input_weight * rate_diff`,
which ignored that selecting every candidate would typically force a change
output (making the selection infeasible under the changeless constraint). The
new bound recasts the problem as: minimize the weight of candidates excluded
from `D_all` such that `excess_with_drain` drops below `change_policy.min_value`.
This is a 0/1 covering knapsack; the LP relaxation (sort positive-ev_feerate
candidates by `ev/weight` descending and exclude fractionally) gives a safe
upper bound on `D.input_weight` for any feasible changeless descendant.

Benchmark improvements (round counts, BnB cap 2M):
  n=15 rate_diff_neg:  3,590  ->    415   (~9x)
  n=20 rate_diff_neg: 34,296  ->  2,138   (~16x)
  n=30 rate_diff_neg: 2M cap  -> 74,055   (>27x, was hitting cap)

rate_diff >= 0 paths are unchanged. `ensure_bound_is_not_too_tight` proptest
verifies the new LB across 256 randomized scenarios.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
`LowestFee::bound` and `ChangelessWaste::bound` both used the same "resize
trick" to lower-bound a monotone quantity of any target-meeting descendant:
walk the value_pwu-sorted unselected list until the target is crossed, then
fractionally resize the crossing input to hit the target with zero excess.

Extract it into a private `resize_bound` helper in `metrics.rs`, returning a
`ResizeBound` enum so each caller keeps its own exact-match computation
(`LowestFee` returns `score`, `ChangelessWaste` returns `waste`) while sharing
the find + deselect + scale mechanism. No behavior change; all tests pass.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
@evanlinjin evanlinjin force-pushed the changeless-waste-metric branch from 69e4f74 to 48baab7 Compare July 2, 2026 16:31
…nt fees

Both `ChangelessWaste::bound` paths mixed rate-based `effective_value` with the
`min(rate, absolute, replacement)` excess, producing an invalid (too-tight)
bound / wrong prune when a non-rate fee constraint binds. A too-tight BnB bound
silently prunes the optimum, yielding a suboptimal changeless selection.

- `ub_changeless_input_weight`: the LP knapsack credits each removed candidate
  its *rate*-based `effective_value`, but when `absolute_excess` or
  `replacement_excess` is the binding constraint, removing a candidate drops it
  by more than that (full `value`, or `value - weight*incremental_relay_feerate`).
  Crediting the smaller rate-ev over-removes weight, so the resulting upper bound
  on `input_weight` falls below the true max and the bound becomes too tight.
  Fall back to the trivial (always valid) `d_all.input_weight()` UB whenever an
  absolute fee or replacement is present; keep the tight knapsack for the
  rate-dominated case.
- `change_unavoidable`: the "least excess" construction adds negative-*rate*-ev
  candidates, which does not minimise the true excess when a replacement is
  present (a rate-negative candidate can be replacement-positive and raise
  `replacement_excess`), so it could wrongly prune a branch that holds a
  changeless solution. Return `false` (never prune — always safe) when a
  replacement is present. An absolute fee is safe here since `absolute_excess`
  only grows as inputs are added.

Adds a deterministic regression test with high-weight candidates and a binding
absolute fee (the default random pool never generates the weight/value ratio
that exposes the gap), and threads an `absolute` fee through the test
`StrategyParams` so the ChangelessWaste proptests exercise it. Found by
high-effort multi-agent code review.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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