Request to enable sample weights for Cox and AFT objectives

[rob7113]

Problem: Cox and AFT objectives currently do not support sample weights, yet enabling them would considerably broaden the applicability of survival analysis with Catboost, for instance, by allowing censored and uncensored data to have different weights.
catboost version: 1.2.3
Operating System: linux
CPU: second generation AMD EPYC
GPU: NVIDIA

[rob7113]

I've been training several survival models with CatBoost recently, playing around with both the Cox and AFT objectives. The latter is especially suited for my application purposes and trains very smoothly. However, my analysis is limited because sample weights are not supported by any of these two objectives. Enabling sample weights would broaden the applicability of Catboost to survival analysis and the required code changes should be straightforward, since sample weights are already supported by other objectives.