A density ratio estimator package for python using the KLIEP algorithm.
The DensityRatioEstimator class implements the Kullback-Leibler Importance Estimation Procedure by Sugiyama et al. Estimator uses likelihood cross validation (LCV) to tune the num_params and sigma parameters.
from pykliep import DensityRatioEstimator
kliep = DensityRatioEstimator()
kliep.fit(X_train, X_test) # keyword arguments are X_train and X_test
weights = kliep.predict(X_train)
rf = RandomForestRegressor()
rf.fit(X_train, y_train, sample_weight=weights) # Train using the sample weights!