I am looking for a SVM package in R that accepts specifying a weight for each instance of the data. I have found e1071 package, it provides a class weighting option with class.weights parameter, but it does not provide any option for instance weighting. I also found wsvm package, but neither it provides that functionality. I am looking for something like libsvm-weights-3.17 in R.
Try this package: https://CRAN.R-project.org/package=WeightSVM
It uses a modified version of 'libsvm' and is able to deal with instance weighting.
For example. You have simulated data (x,y)
x <- seq(0.1, 5, by = 0.05)
y <- log(x) + rnorm(x, sd = 0.2)
This is an unweighted SVM:
model1 <- wsvm(x, y, weight = rep(1,99))
So we can use a weighted SVM:
model2 <- wsvm(x, y, weight = seq(99,1,length.out = 99))
Green dots is the weighted SVM and fit the first instance better.