I have a highly imbalanced dataset (± 5% positive instances), for which I am training binary classifiers. I am using nested 5-fold cross-validation with grid search for hyperparameter tuning.
I want to avoid undersampling, so I have been looking into the class_weight hyperparameter. For sklearn's decisiontree classifier, this works really well and is easily given as a hyperparameter. However, this is not an option for sklearn's neural network (multi-layer perceptron) as far as I can tell. I have been using Keras instead and I can apply class_weight with gridsearchCV, but not with cross_val_score.
Is there a way to use class_weights in keras with cross-validation?