Weighted version of the KLL sketch?

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Assessment

Difficulty
5/5
Estimated time
Over a week
Newbie friendliness
25/100
Issue type
Feature
Clarity
Needs clarification
Activity status
Stale
Tech stack
cpp
Domain
data

Research direction

Start by reviewing the KLL sketch design and the linked XGBoost issue #5746, then read Appendix A of the linked XGBoost paper for the weighting requirements. Determine whether a weighted KLL sketch is feasible and define the expected behavior before implementation; the issue does not name source files or tests.

Written by the indexing model from the issue text.

Description

Hello,

There's a consideration at XGBoost about potentially using the KLL sketch to represent feature value histograms.

One potential blocker is the need for a weighted version of the sketch, this would allow us to use data points that are weighted, and adjust their feature contributions accordingly (See Appendix A of XGBoost paper).

I remember discussing in the past the possibility of using data weights with KLL, is that still an option?

Dominant language
C++
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273
Forks
88
Avg merge
1d 19h
Merged PRs (30d)
9

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