SingleTreePolicyInterpreter should support `sample_weight`

Hi @kbattocchi,
Thanks for all your work on econml!

Is there any specific reason that SingleTreePolicyInterpreter.interpret cannot support the sample_weight param?

The core learning should work: Internally, it could just pass the weights to PolicyTree.fit [0, 1].

From a quick look some peripheral functionality would also need to be adapted:

• The sample_treatment_costs would need to be multiplied by the weights (or pre-multiplied by the caller).
• The policy_value_ and always_treat_value_ would need to be converted to weighted averages.

Am I missing something?

An alternative is using a PolicyTree or DRPolicyTree directly, however, they do not output the CATEs and standard errors like the SingleTreePolicyInterpreter. In other words, the SingleTreePolicyInterpreter has the advantage of conveniently bundling both recommended treatments AND the underlying CATE estimates (along with other functionality like risk preferences and treatment costs).

[0] https://github.com/microsoft/EconML/blob/b84072baff8ee9f44ebd6e19aff3a7194a66b0f4/econml/cate_interpreter/_interpreters.py#L414
[1] https://econml.azurewebsites.net/_autosummary/econml.policy.PolicyTree.html#econml.policy.PolicyTree.fit