Sample weights in LightGBM - where to specify? I want to introduce samples weights to my lgbm classifier. From what I see the weights can be added both in the lgb.Dataset and in the .fit method. What is the difference between the two?

You can train a LightGBM model in two ways:
params = {}
my_data = lgb.Dataset(train_x, train_y, weights, ...)
my_model = lgb.train(params, my_data, ...)

or the Sklearn way:
my_model = lgb.LGBMClassifier(**params)
my_model.fit(train_x, train_y, weights...)

The fit() method doesn't take lgb.Dataset objects as input, the training data and their weights have to be passed separately.
You can find examples here and here.
