I posed this on Wolfram Community about a week ago and no one there seems to have a good solution, so I will try it here. (It may well be that this is an issue for Mathematica developers and that little can be done at present, but ...)
It does not appear easy within the current Classify, Predict or NetTrain functions to accommodate weighted data. (Note, I am not speaking about class priors but about what are sometimes called case weights.) It I am wrong about this, can anyone tell me how to do so. If anyone has a work around, could you please make a suggestion.
Motivation: I have several projects that would benefit from weighted data, the latest being to explain this really interesting paper using Mathematica: https://arxiv.org/pdf/1602.04938.pdf . The idea would basically be to emulate one machine learning method -- the complex one such as a neural net -- with a less opaque one (such as a decision tree) but with the emulator only being responsible for producing similar answers within a neighborhood of a user-specified point. Closer points within that neighborhood would be weighted more heavily than farther-away points within the neighborhood. This way one could use something close to human language to construct an approximate but comprehensible explanation, for a particular individual, what a more complex and more opaque classifier was doing.
I've thought about random sampling of points within the neighborhood with the weights determined by distance, but I would prefer a more deterministic algorithm.