Importance Weighting
Overview
Importance weighting changes how much observations or other elements contribute to learning and evaluation, often to correct a mismatch between the data available and the population or policy of interest. It is used in domain adaptation, off-policy evaluation, label-shift correction, and to prioritize features, tokens, or tasks. Methods range from density-ratio estimation and inverse-propensity weighting to bounded or normalized weights, moment matching, and learned reweighting, sometimes paired with outcome models or formal uncertainty guarantees. A central challenge is balancing bias correction against the high variance and instability that can arise from extreme weights, especially when distributions have limited overlap or the assumed shift is wrong.
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