Weighted Decision Trees using Entropy
I'm building a binary classification tree using mutual information gain as the splitting function. But since the training data is skewed toward a few classes, it is advisable to weight each training example by the inverse class frequency. How do I weight the training data? When calculating the probabilities to estimate the entropy, do I take weighted averages? EDIT: I'd like an expression for entropy with the weights. State-value weighted entropy as a measure of investment risk. http://www56.homepage.villanova.edu/david.nawrocki/State%20Weighted%20Entropy%20Nawrocki%20Harding.pdf Robert Harvey