Add ability to pass sample weights for training

[pplonski]

There should be an option to pass weights for training. Weights should be used in metrics as well.

[diogosilva30]

Do you mean class_weights? So it pays more "attention" to a certain class in a classification task?

[pplonski]

I mean sample weights. For class weights, I've created separate issue #155

[pplonski]

@kmedved this can be added to the next major release. Would you like to help? Even testing or providing use cases would be nice.

[kmedved]

I would be happy to help with testing or use cases; actual code contribution is over my head unfortunately.