Weighted version of the KLL sketch?

Hello,

There's a consideration at [XGBoost](https://github.com/dmlc/xgboost/issues/5746) 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](https://arxiv.org/abs/1603.02754)).

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

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.