RFE/RFECV doesn't work with sample weights

As far as I can tell, sklearn.feature_selection.RFE has no way to pass sample weights to the estimator alongside the data.

I have fixed this in my code with:

index bbe0cda..f5072b2 100644
--- a/sklearn/feature_selection/rfe.py
+++ b/sklearn/feature_selection/rfe.py
@@ -120,7 +120,7 @@ class RFE(BaseEstimator, MetaEstimatorMixin, SelectorMixin):
     def _estimator_type(self):
         return self.estimator._estimator_type

-    def fit(self, X, y):
+    def fit(self, X, y, **fit_params):
         """Fit the RFE model and then the underlying estimator on the selected
            features.

@@ -132,9 +132,9 @@ class RFE(BaseEstimator, MetaEstimatorMixin, SelectorMixin):
         y : array-like, shape = [n_samples]
             The target values.
         """
-        return self._fit(X, y)
+        return self._fit(X, y, **fit_params)

-    def _fit(self, X, y, step_score=None):
+    def _fit(self, X, y, step_score=None, **fit_params):
         X, y = check_X_y(X, y, "csc")
         # Initialization
         n_features = X.shape[1]
@@ -166,7 +166,7 @@ class RFE(BaseEstimator, MetaEstimatorMixin, SelectorMixin):
             if self.verbose > 0:
                 print("Fitting estimator with %d features." % np.sum(support_))

-            estimator.fit(X[:, features], y)
+            estimator.fit(X[:, features], y, **fit_params)

             # Get coefs
             if hasattr(estimator, 'coef_'):

Would this be a worthwhile contribution to scikit-learn?

Versions

In [1]: import platform; print(platform.platform())
Linux-3.13.0-63-generic-x86_64-with-Ubuntu-14.04-trusty

In [2]: import sys; print("Python", sys.version)
('Python', '2.7.6 (default, Jun 22 2015, 17:58:13) \n[GCC 4.8.2]')

In [3]: import numpy; print("NumPy", numpy.__version__)
('NumPy', '1.11.0')

In [4]: import scipy; print("SciPy", scipy.__version__)
('SciPy', '0.17.1')

In [5]: import sklearn; print("Scikit-Learn", sklearn.__version__)
('Scikit-Learn', '0.18.dev0')

TODO:

• Add support for sample_weight in RFE
• Add support for sample_weight in RFECV

[nathanwalker-sp]

@fbidu thank you so much for this! for what it’s worth I think it would be fairly simple to add this also to RFECV (which just calls RFE), but I understand if that’s outside of the scope of what you’re working on (since you’re already building/trying to merge)

[glemaitre]

I am reopening this issue and will rename the title. Feel free to open a new PR.