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Add sample_weight support for QuantileTransformer when fit on dense data #31147

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Add sample_weight support for QuantileTransformer when fit on dense data #31147

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kaekkr
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@kaekkr kaekkr commented Apr 4, 2025 •
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Reference Issues/PRs

Fixes #30707
See also the discussion in #30707.

What does this implement/fix? Explain your changes.

This PR adds support for the sample_weight parameter to QuantileTransformer, allowing users to apply weights to samples when computing quantiles. This makes the transformation more flexible, especially in cases where samples have varying importance or are part of imbalanced datasets.

Changes made:

  • Added sample_weight parameter to fit and _dense_fit.
  • Implemented weighted quantile logic.
  • Updated tests to check for correct behavior with and without sample_weight.

Any other comments?

  • The implementation ensures backward compatibility.
  • Tests pass and maintain previous behavior when sample_weight is not provided.
  • Would appreciate feedback on edge cases or numerical accuracy concerns.

Thanks for the review!

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github-actions bot commented Apr 4, 2025 •
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ogrisel commented Apr 4, 2025 •
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Thanks for the PR. Could you please instead use sklearn.utils.stats._averaged_weighted_percentile instead of reimplementing a new version of weighted quantiles?

For the unweighted case, we should use np.nanquantile/np.percentile with method="averaged_inverted_cdf" instead.

The two changes together should help make the weighting/repetition semantic check of check_sample_weight_equivalence_on_dense_data pass.

Please mark check_sample_weight_equivalence_on_sparse_data XFAIL in the PER_ESTIMATOR_XFAIL_CHECKS dict.

@ogrisel ogrisel changed the title Quantile transformer sample weight Add sample_weight support for QuantileTransformer when fit on dense data Apr 4, 2025
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ogrisel commented Apr 4, 2025 •
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Please also don't forget to document your change in a changelog entry by adding a file under doc/whats_new/upcoming_changes. See #29907 for an example.

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kaekkr commented Apr 4, 2025

@ogrisel Okay, thank you for your reply! I will fix that

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Add sample_weight support to QuantileTransformer
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@kaekkr @ogrisel @StefanieSenger