Add option for observation weights

[ck37]

Add option for observation weights

[osofr]

Hi Chris,

Thanks for opening this issue. I agree that weights are very important and can be used to address many problems (yours is definitely new to me).

I was a bit surprised that you would want to use weights for estimation of g, but I think I see that now. Indeed, you want the MSE of your Super Learner to be representative of your target (re-weighted) population, not the observed sample, so that has to apply to any estimation part of TMLE: Q, g and epsilon update.

I think it should be fairly easy to implement this, as long as the underlying learners are supporting the weights argument. I'll try to implement this as part of the move to sl3 learners, keeping this open for now.

[Soudi00]

Hi Oleg,

I was also wondering if we can get the weights for each observation. It would be helpful to be able to look at the weights and I would like to summary of them.

Thanks,
Soudeh