Thanks for the working on this @Patschkowski! I think it will be nice functionality to add. I have a handful of comments; I hope they are helpful. Let me know if I can clarify any of them. Other things to handle before merge (small issues but I want to write them down at least):

• update HISTORY.md to point out the addition
• add a comment to random_forest.hpp in the definition of RandomForest to indicate that UseWeights will go away in mlpack 5.0.0
• add your name to the list of contributors if you want :)

Thanks for the changes @Patschkowski! I am sure you are getting tired of these reviews by now but there are a couple more small things to handle. Most specifically the example in the documentation doesn't compile for two reasons: one of them is something wrong in the code itself, and the other is something wrong in code that I wrote a long time ago that happens to impact yours.

If you can add these changes to your PR and fix the other issues in the example then that should build correctly:

https://gist.github.com/rcurtin/92bb8bf09b301da3975002fdd0dfcdb7

I left instructions in the comments on how you can build locally, but if you prefer, I'm happy to test that myself when you push changes. (Normally the documentation snippet build job would get this, but that is currently not working as I fix it in another branch. Until then I don't mind checking by hand.)

Thanks again. These last comments really are just wrapping up, as soon as we can get the documentation to build correctly and the example to be clear then let's merge.

Thanks @Patschkowski! Let's get this merged finally. :)

I pushed one commit that makes a couple small changes:

• The lack of a newline at the end of random_forest.md actually breaks the scripts/test-docs.sh script... I could fix the script, or I could add a newline at the end of the file, which is a good thing anyway, so added the newline.
• For the test code to compile, there is no using namespace mlpack anywhere, so I had to fully qualify all the names with mlpack::.
• I also fixed a comment that wrapped but didn't have a leading //.
• Lastly I also made the example give a little bit of output so that if a user runs it they at least get something.

Thanks so much for the hard work on this! I appreciate your dedication to the effort.

Second approval provided automatically after 24 hours. 👍