diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia.py
index 5674c1c..332972a 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia.py
@@ -14,7 +14,7 @@
 """Functions for advanced membership inference attacks."""
 
 import functools
-from typing import Sequence, Union
+from typing import Optional, Sequence, Union
 import numpy as np
 import scipy.stats
 from tensorflow_privacy.privacy.privacy_tests.utils import log_loss
@@ -197,6 +197,7 @@ def convert_logit_to_prob(logit: np.ndarray) -> np.ndarray:
 
 def calculate_statistic(pred: np.ndarray,
                         labels: np.ndarray,
+                        sample_weight: Optional[np.ndarray] = None,
                         is_logits: bool = True,
                         option: str = 'logit',
                         small_value: float = 1e-45):
@@ -215,6 +216,10 @@ def calculate_statistic(pred: np.ndarray,
       An array of size n by c where n is the number of samples and c is the
       number of classes
     labels: true labels of samples (integer valued)
+    sample_weight: a vector of weights of shape (num_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
     is_logits: whether pred is logits or probability vectors
     option: confidence using probability, xe loss, logit of confidence,
       confidence using logits, hinge loss
@@ -241,7 +246,7 @@ def calculate_statistic(pred: np.ndarray,
   if option in ['conf with prob', 'conf with logit']:
     return pred[range(n), labels]
   if option == 'xe':
-    return log_loss(labels, pred)
+    return log_loss(labels, pred, sample_weight=sample_weight)
   if option == 'logit':
     p_true = pred[range(n), labels]
     pred[range(n), labels] = 0
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_example.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_example.py
index 38b7a43..f033aa8 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_example.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_example.py
@@ -16,6 +16,8 @@
 import functools
 import gc
 import os
+from typing import Optional
+
 from absl import app
 from absl import flags
 import matplotlib.pyplot as plt
@@ -69,7 +71,11 @@ def plot_curve_with_area(x, y, xlabel, ylabel, ax, label, title=None):
   ax.title.set_text(title)
 
 
-def get_stat_and_loss_aug(model, x, y, batch_size=4096):
+def get_stat_and_loss_aug(model,
+                          x,
+                          y,
+                          sample_weight: Optional[np.ndarray] = None,
+                          batch_size=4096):
   """A helper function to get the statistics and losses.
 
   Here we get the statistics and losses for the original and
@@ -80,6 +86,10 @@ def get_stat_and_loss_aug(model, x, y, batch_size=4096):
     model: model to make prediction
     x: samples
     y: true labels of samples (integer valued)
+    sample_weight: a vector of weights of shape (n_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
     batch_size: the batch size for model.predict
 
   Returns:
@@ -89,8 +99,10 @@ def get_stat_and_loss_aug(model, x, y, batch_size=4096):
   for data in [x, x[:, :, ::-1, :]]:
     prob = amia.convert_logit_to_prob(
         model.predict(data, batch_size=batch_size))
-    losses.append(utils.log_loss(y, prob))
-    stat.append(amia.calculate_statistic(prob, y, convert_to_prob=False))
+    losses.append(utils.log_loss(y, prob, sample_weight=sample_weight))
+    stat.append(
+        amia.calculate_statistic(
+            prob, y, sample_weight=sample_weight, convert_to_prob=False))
   return np.vstack(stat).transpose(1, 0), np.vstack(losses).transpose(1, 0)
 
 
@@ -103,6 +115,8 @@ def main(unused_argv):
 
   # Load data.
   x, y = load_cifar10()
+  # Sample weights are set to `None` by default, but can be changed here.
+  sample_weight = None
   n = x.shape[0]
 
   # Train the target and shadow models. We will use one of the model in `models`
@@ -144,7 +158,7 @@ def main(unused_argv):
       print(f'Trained model #{i} with {in_indices[-1].sum()} examples.')
 
     # Get the statistics of the current model.
-    s, l = get_stat_and_loss_aug(model, x, y)
+    s, l = get_stat_and_loss_aug(model, x, y, sample_weight)
     stat.append(s)
     losses.append(l)
 
@@ -175,7 +189,9 @@ def main(unused_argv):
         stat_target, stat_in, stat_out, fix_variance=True)
     attack_input = AttackInputData(
         loss_train=scores[in_indices_target],
-        loss_test=scores[~in_indices_target])
+        loss_test=scores[~in_indices_target],
+        sample_weight_train=sample_weight,
+        sample_weight_test=sample_weight)
     result_lira = mia.run_attacks(attack_input).single_attack_results[0]
     print('Advanced MIA attack with Gaussian:',
           f'auc = {result_lira.get_auc():.4f}',
@@ -187,7 +203,9 @@ def main(unused_argv):
     scores = -amia.compute_score_offset(stat_target, stat_in, stat_out)
     attack_input = AttackInputData(
         loss_train=scores[in_indices_target],
-        loss_test=scores[~in_indices_target])
+        loss_test=scores[~in_indices_target],
+        sample_weight_train=sample_weight,
+        sample_weight_test=sample_weight)
     result_offset = mia.run_attacks(attack_input).single_attack_results[0]
     print('Advanced MIA attack with offset:',
           f'auc = {result_offset.get_auc():.4f}',
@@ -197,7 +215,9 @@ def main(unused_argv):
     loss_target = losses[idx][:, 0]
     attack_input = AttackInputData(
         loss_train=loss_target[in_indices_target],
-        loss_test=loss_target[~in_indices_target])
+        loss_test=loss_target[~in_indices_target],
+        sample_weight_train=sample_weight,
+        sample_weight_test=sample_weight)
     result_baseline = mia.run_attacks(attack_input).single_attack_results[0]
     print('Baseline MIA attack:', f'auc = {result_baseline.get_auc():.4f}',
           f'adv = {result_baseline.get_attacker_advantage():.4f}')
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_test.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_test.py
index 1865d84..268e865 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/advanced_mia_test.py
@@ -158,19 +158,21 @@ class TestCalculateStatistic(absltest.TestCase):
     #        [0.09003057, 0.66524096, 0.24472847]])
     labels = np.array([1, 2])
 
-    stat = amia.calculate_statistic(logit, labels, is_logits, 'conf with prob')
+    stat = amia.calculate_statistic(logit, labels, None, is_logits,
+                                    'conf with prob')
     np.testing.assert_allclose(stat, np.array([0.72747516, 0.24472847]))
 
-    stat = amia.calculate_statistic(logit, labels, is_logits, 'xe')
+    stat = amia.calculate_statistic(logit, labels, None, is_logits, 'xe')
     np.testing.assert_allclose(stat, np.array([0.31817543, 1.40760596]))
 
-    stat = amia.calculate_statistic(logit, labels, is_logits, 'logit')
+    stat = amia.calculate_statistic(logit, labels, None, is_logits, 'logit')
     np.testing.assert_allclose(stat, np.array([0.98185009, -1.12692802]))
 
-    stat = amia.calculate_statistic(logit, labels, is_logits, 'conf with logit')
+    stat = amia.calculate_statistic(logit, labels, None, is_logits,
+                                    'conf with logit')
     np.testing.assert_allclose(stat, np.array([2, 0.]))
 
-    stat = amia.calculate_statistic(logit, labels, is_logits, 'hinge')
+    stat = amia.calculate_statistic(logit, labels, None, is_logits, 'hinge')
     np.testing.assert_allclose(stat, np.array([1, -1.]))
 
   def test_calculate_statistic_prob(self):
@@ -179,19 +181,74 @@ class TestCalculateStatistic(absltest.TestCase):
     prob = np.array([[0.1, 0.85, 0.05], [0.1, 0.5, 0.4]])
     labels = np.array([1, 2])
 
-    stat = amia.calculate_statistic(prob, labels, is_logits, 'conf with prob')
+    stat = amia.calculate_statistic(prob, labels, None, is_logits,
+                                    'conf with prob')
     np.testing.assert_allclose(stat, np.array([0.85, 0.4]))
 
-    stat = amia.calculate_statistic(prob, labels, is_logits, 'xe')
+    stat = amia.calculate_statistic(prob, labels, None, is_logits, 'xe')
     np.testing.assert_allclose(stat, np.array([0.16251893, 0.91629073]))
 
-    stat = amia.calculate_statistic(prob, labels, is_logits, 'logit')
+    stat = amia.calculate_statistic(prob, labels, None, is_logits, 'logit')
     np.testing.assert_allclose(stat, np.array([1.73460106, -0.40546511]))
 
     np.testing.assert_raises(ValueError, amia.calculate_statistic, prob, labels,
-                             is_logits, 'conf with logit')
+                             None, is_logits, 'conf with logit')
     np.testing.assert_raises(ValueError, amia.calculate_statistic, prob, labels,
-                             is_logits, 'hinge')
+                             None, is_logits, 'hinge')
+
+  def test_calculate_statistic_logit_with_sample_weights(self):
+    """Test calculate_statistic with input as logit."""
+    is_logits = True
+    logit = np.array([[1, 2, -3.], [-1, 1, 0]])
+    # expected probability vector
+    # array([[0.26762315, 0.72747516, 0.00490169],
+    #        [0.09003057, 0.66524096, 0.24472847]])
+    labels = np.array([1, 2])
+    sample_weight = np.array([1.0, 0.5])
+
+    stat = amia.calculate_statistic(logit, labels, sample_weight, is_logits,
+                                    'conf with prob')
+    np.testing.assert_allclose(stat, np.array([0.72747516, 0.24472847]))
+
+    stat = amia.calculate_statistic(logit, labels, sample_weight, is_logits,
+                                    'xe')
+    np.testing.assert_allclose(stat, np.array([0.31817543, 0.70380298]))
+
+    stat = amia.calculate_statistic(logit, labels, sample_weight, is_logits,
+                                    'logit')
+    np.testing.assert_allclose(stat, np.array([0.98185009, -1.12692802]))
+
+    stat = amia.calculate_statistic(logit, labels, sample_weight, is_logits,
+                                    'conf with logit')
+    np.testing.assert_allclose(stat, np.array([2, 0.]))
+
+    stat = amia.calculate_statistic(logit, labels, sample_weight, is_logits,
+                                    'hinge')
+    np.testing.assert_allclose(stat, np.array([1, -1.]))
+
+  def test_calculate_statistic_prob_with_sample_weights(self):
+    """Test calculate_statistic with input as probability vector."""
+    is_logits = False
+    prob = np.array([[0.1, 0.85, 0.05], [0.1, 0.5, 0.4]])
+    labels = np.array([1, 2])
+    sample_weight = np.array([1.0, 0.5])
+
+    stat = amia.calculate_statistic(prob, labels, sample_weight, is_logits,
+                                    'conf with prob')
+    np.testing.assert_allclose(stat, np.array([0.85, 0.4]))
+
+    stat = amia.calculate_statistic(prob, labels, sample_weight, is_logits,
+                                    'xe')
+    np.testing.assert_allclose(stat, np.array([0.16251893, 0.458145365]))
+
+    stat = amia.calculate_statistic(prob, labels, sample_weight, is_logits,
+                                    'logit')
+    np.testing.assert_allclose(stat, np.array([1.73460106, -0.40546511]))
+
+    np.testing.assert_raises(ValueError, amia.calculate_statistic, prob, labels,
+                             None, is_logits, 'conf with logit')
+    np.testing.assert_raises(ValueError, amia.calculate_statistic, prob, labels,
+                             None, is_logits, 'hinge')
 
 
 if __name__ == '__main__':
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures.py
index dc558c1..39a4773 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures.py
@@ -20,7 +20,7 @@ import glob
 import logging
 import os
 import pickle
-from typing import Any, Callable, Iterable, MutableSequence, Optional, Union
+from typing import Any, Iterable, MutableSequence, Optional, Union
 
 import numpy as np
 import pandas as pd
@@ -203,6 +203,10 @@ class AttackInputData:
   labels_train: Optional[np.ndarray] = None
   labels_test: Optional[np.ndarray] = None
 
+  # Sample weights, if provided.
+  sample_weight_train: Optional[np.ndarray] = None
+  sample_weight_test: Optional[np.ndarray] = None
+
   # Explicitly specified loss. If provided, this is used instead of deriving
   # loss from logits and labels
   loss_train: Optional[np.ndarray] = None
@@ -219,8 +223,7 @@ class AttackInputData:
   # string representation, or a callable.
   # If a callable is provided, it should take in two argument, the 1st is
   # labels, the 2nd is logits or probs.
-  loss_function: Union[Callable[[np.ndarray, np.ndarray], np.ndarray], str,
-                       utils.LossFunction] = utils.LossFunction.CROSS_ENTROPY
+  loss_function: utils.LossFunctionCallable = utils.LossFunction.CROSS_ENTROPY
   # Whether `loss_function` will be called with logits or probs. If not set
   # (None), will decide by availablity of logits and probs and logits is
   # preferred when both are available.
@@ -309,7 +312,8 @@ class AttackInputData:
       self.loss_function_using_logits = (self.logits_train is not None)
     return utils.get_loss(self.loss_train, self.labels_train, self.logits_train,
                           self.probs_train, self.loss_function,
-                          self.loss_function_using_logits, self.multilabel_data)
+                          self.loss_function_using_logits, self.multilabel_data,
+                          self.sample_weight_train)
 
   def get_loss_test(self):
     """Calculates (if needed) cross-entropy losses for the test set.
@@ -321,7 +325,8 @@ class AttackInputData:
       self.loss_function_using_logits = bool(self.logits_test)
     return utils.get_loss(self.loss_test, self.labels_test, self.logits_test,
                           self.probs_test, self.loss_function,
-                          self.loss_function_using_logits, self.multilabel_data)
+                          self.loss_function_using_logits, self.multilabel_data,
+                          self.sample_weight_test)
 
   def get_entropy_train(self):
     """Calculates prediction entropy for the training set."""
@@ -367,6 +372,11 @@ class AttackInputData:
     """Returns the number of examples of the test set."""
     return self.get_test_shape()[0]
 
+  def has_nonnull_sample_weights(self):
+    """Whether both the train and test input data have sample weights."""
+    return (self.sample_weight_train is not None and
+            self.sample_weight_test is not None)
+
   def is_multihot_labels(self, arr, arr_name) -> bool:
     """Check if the 2D array is multihot, with values in [0, 1].
 
@@ -556,6 +566,8 @@ class AttackInputData:
     _append_array_shape(self.probs_test, 'probs_test', result)
     _append_array_shape(self.labels_train, 'labels_train', result)
     _append_array_shape(self.labels_test, 'labels_test', result)
+    _append_array_shape(self.sample_weight_train, 'sample_weight_train', result)
+    _append_array_shape(self.sample_weight_test, 'sample_weight_test', result)
     result.append(')')
     return '\n'.join(result)
 
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures_test.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures_test.py
index 23432fe..aad3a09 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/data_structures_test.py
@@ -63,6 +63,20 @@ class AttackInputDataTest(parameterized.TestCase):
     np.testing.assert_allclose(
         attack_input.get_loss_test(), [0.29860897, 0.95618669], atol=1e-7)
 
+  def test_get_xe_loss_from_logits_with_sample_weights(self):
+    attack_input = AttackInputData(
+        logits_train=np.array([[-0.3, 1.5, 0.2], [2, 3, 0.5]]),
+        logits_test=np.array([[2, 0.3, 0.2], [0.3, -0.5, 0.2]]),
+        labels_train=np.array([1, 0]),
+        labels_test=np.array([0, 2]),
+        sample_weight_train=np.array([1.0, 0.5]),
+        sample_weight_test=np.array([0.5, 1.0]))
+
+    np.testing.assert_allclose(
+        attack_input.get_loss_train(), [0.36313551, 0.685769515], atol=1e-7)
+    np.testing.assert_allclose(
+        attack_input.get_loss_test(), [0.149304485, 0.95618669], atol=1e-7)
+
   def test_get_xe_loss_from_probs(self):
     attack_input = AttackInputData(
         probs_train=np.array([[0.1, 0.1, 0.8], [0.8, 0.2, 0]]),
@@ -88,6 +102,30 @@ class AttackInputDataTest(parameterized.TestCase):
     np.testing.assert_allclose(
         attack_input.get_loss_test(), expected_loss0[::-1], rtol=1e-2)
 
+  def test_get_binary_xe_loss_from_logits_with_sample_weights(self):
+    attack_input = AttackInputData(
+        logits_train=np.array([-10, -5, 0., 5, 10]),
+        logits_test=np.array([-10, -5, 0., 5, 10]),
+        labels_train=np.zeros((5,)),
+        labels_test=np.ones((5,)),
+        sample_weight_train=np.array([1.0, 0.0, 0.5, 0.2, 1.0]),
+        sample_weight_test=np.array([0.0, 0.1, 0.5, 0.2, 1.0]),
+        loss_function_using_logits=True)
+    expected_train_loss = np.array(
+        [4.539890e-05, 0.0, 0.3465736, 1.001343, 10.0])
+    expected_test_loss = np.array(
+        [4.539890e-05, 0.001343070, 0.3465736, 0.5006715, 0.0])
+    np.testing.assert_allclose(
+        attack_input.get_loss_train(),
+        expected_train_loss,
+        rtol=1e-2,
+        err_msg='Failure in binary xe training loss calculation.')
+    np.testing.assert_allclose(
+        attack_input.get_loss_test(),
+        expected_test_loss[::-1],
+        rtol=1e-2,
+        err_msg='Failure in binary xe test loss calculation.')
+
   def test_get_binary_xe_loss_from_probs(self):
     attack_input = AttackInputData(
         probs_train=np.array([0.2, 0.7, 0.1, 0.99, 0.002, 0.008]),
@@ -137,7 +175,8 @@ class AttackInputDataTest(parameterized.TestCase):
   def test_get_customized_loss(self, loss_function_using_logits, expected_train,
                                expected_test):
 
-    def fake_loss(x, y):
+    def fake_loss(x, y, sample_weight=None):
+      del sample_weight  # Unused.
       return 2 * x + y
 
     attack_input = AttackInputData(
@@ -332,6 +371,23 @@ class AttackInputDataTest(parameterized.TestCase):
         attack_input.get_loss_test(), [[0.22314354, 0.35667493, 2.30258499]],
         atol=1e-6)
 
+  def test_multilabel_get_bce_loss_from_probs_with_sample_weights(self):
+    attack_input = AttackInputData(
+        probs_train=np.array([[0.2, 0.3, 0.7], [0.8, 0.6, 0.9]]),
+        probs_test=np.array([[0.8, 0.7, 0.9]]),
+        labels_train=np.array([[0, 1, 1], [1, 1, 0]]),
+        labels_test=np.array([[1, 1, 0]]),
+        sample_weight_train=np.array([1.0, 0.5]),
+        sample_weight_test=np.array([0.5]))
+
+    np.testing.assert_allclose(
+        attack_input.get_loss_train(), [[0.22314343, 1.20397247, 0.3566748],
+                                        [0.111571715, 0.25541273, 1.151292045]],
+        atol=1e-6)
+    np.testing.assert_allclose(
+        attack_input.get_loss_test(), [[0.11157177, 0.17833747, 1.1512925]],
+        atol=1e-6)
+
   def test_multilabel_get_bce_loss_from_logits(self):
     attack_input = AttackInputData(
         logits_train=np.array([[-1.0, -2.0], [0.01, 1.5], [0.5, -3]]),
@@ -349,6 +405,25 @@ class AttackInputDataTest(parameterized.TestCase):
         [[0.68815966, 0.20141327], [0.47407697, 0.04858734]],
         atol=1e-6)
 
+  def test_multilabel_get_bce_loss_from_logits_with_sample_weights(self):
+    attack_input = AttackInputData(
+        logits_train=np.array([[-1.0, -2.0], [0.01, 1.5], [0.5, -3]]),
+        logits_test=np.array([[0.01, 1.5], [0.5, -3]]),
+        labels_train=np.array([[0, 0], [0, 1], [1, 1]]),
+        labels_test=np.array([[1, 1], [1, 0]]),
+        sample_weight_train=np.array([1.0, 0.0, 0.5]),
+        sample_weight_test=np.array([0.0, 0.5]))
+
+    np.testing.assert_allclose(
+        attack_input.get_loss_train(),
+        [[0.31326167, 0.126928], [0.0, 0.0], [0.23703848, 1.52429357]],
+        atol=1e-6,
+        err_msg='Failure in multilabel bce training loss calculation.')
+    np.testing.assert_allclose(
+        attack_input.get_loss_test(), [[0.0, 0.0], [0.23703848, 0.02429367]],
+        atol=1e-6,
+        err_msg='Failure in multilabel bce test loss calculation.')
+
   def test_multilabel_get_loss_explicitly_provided(self):
     attack_input = AttackInputData(
         loss_train=np.array([[1.0, 3.0, 6.0], [6.0, 8.0, 9.0]]),
@@ -359,6 +434,23 @@ class AttackInputDataTest(parameterized.TestCase):
     np.testing.assert_equal(attack_input.get_loss_test().tolist(),
                             np.array([[1.0, 4.0, 6.0], [1.0, 2.0, 3.0]]))
 
+  def test_multilabel_get_loss_explicitly_provided_with_sample_weights(self):
+    attack_input = AttackInputData(
+        loss_train=np.array([[1.0, 3.0, 6.0], [6.0, 8.0, 9.0]]),
+        loss_test=np.array([[1.0, 4.0, 6.0], [1.0, 2.0, 3.0]]),
+        sample_weight_train=np.array([1.0, 0.5]),
+        sample_weight_test=np.array([0.0, 0.5]))
+
+    # Since loss is provided, sample weights have no effect.
+    np.testing.assert_equal(
+        attack_input.get_loss_train().tolist(),
+        np.array([[1.0, 3.0, 6.0], [6.0, 8.0, 9.0]]),
+        err_msg='Failure in multilabel get training loss calculation.')
+    np.testing.assert_equal(
+        attack_input.get_loss_test().tolist(),
+        np.array([[1.0, 4.0, 6.0], [1.0, 2.0, 3.0]]),
+        err_msg='Failure in multilabel get test loss calculation.')
+
   def test_validate_with_force_multilabel_false(self):
     attack_input = AttackInputData(
         probs_train=np.array([[0.2, 0.3, 0.7], [0.8, 0.6, 0.9]]),
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing.py
index 5d4f381..ca8a494 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing.py
@@ -42,6 +42,9 @@ def _slice_data_by_indices(data: AttackInputData, idx_train,
   result.labels_train = _slice_if_not_none(data.labels_train, idx_train)
   result.loss_train = _slice_if_not_none(data.loss_train, idx_train)
   result.entropy_train = _slice_if_not_none(data.entropy_train, idx_train)
+  # Copy over sample weights if provided.
+  result.sample_weight_train = data.sample_weight_train
+  result.sample_weight_test = data.sample_weight_test
 
   # Slice test data.
   result.logits_test = _slice_if_not_none(data.logits_test, idx_test)
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing_test.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing_test.py
index 3f12908..c0cdd51 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/dataset_slicing_test.py
@@ -115,6 +115,8 @@ class GetSliceTest(absltest.TestCase):
     loss_test = np.array([0.5, 3.5, 7, 4.5])
     entropy_train = np.array([0.4, 8, 0.6, 10])
     entropy_test = np.array([15, 10.5, 4.5, 0.3])
+    sample_weight_train = np.array([1.0, 0.5])
+    sample_weight_test = np.array([0.5, 1.0])
 
     self.input_data = AttackInputData(
         logits_train=logits_train,
@@ -126,7 +128,9 @@ class GetSliceTest(absltest.TestCase):
         loss_train=loss_train,
         loss_test=loss_test,
         entropy_train=entropy_train,
-        entropy_test=entropy_test)
+        entropy_test=entropy_test,
+        sample_weight_train=sample_weight_train,
+        sample_weight_test=sample_weight_test)
 
   def test_slice_entire_dataset(self):
     entire_dataset_slice = SingleSliceSpec()
@@ -168,6 +172,12 @@ class GetSliceTest(absltest.TestCase):
     self.assertTrue((output.entropy_train == [0.4, 0.6]).all())
     self.assertTrue((output.entropy_test == [15]).all())
 
+    # Check sample weights
+    self.assertLen(output.sample_weight_train, 2)
+    np.testing.assert_array_equal(output.sample_weight_train, [1.0, 0.5])
+    self.assertLen(output.sample_weight_test, 2)
+    np.testing.assert_array_equal(output.sample_weight_test, [0.5, 1.0])
+
   def test_slice_by_percentile(self):
     percentile_slice = SingleSliceSpec(SlicingFeature.PERCENTILE, (0, 50))
     output = get_slice(self.input_data, percentile_slice)
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/membership_inference_attack_test.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/membership_inference_attack_test.py
index 40c2e7b..fd0f294 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/membership_inference_attack_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/membership_inference_attack_test.py
@@ -72,6 +72,19 @@ def get_multilabel_test_input(n_train, n_test):
       labels_test=get_multihot_labels_for_test(n_test, num_classes))
 
 
+def get_multilabel_test_input_with_sample_weights(n_train, n_test):
+  """Get example multilabel inputs for attacks."""
+  rng = np.random.RandomState(4)
+  num_classes = max(n_train // 20, 5)  # use at least 5 classes.
+  return AttackInputData(
+      logits_train=rng.randn(n_train, num_classes) + 0.2,
+      logits_test=rng.randn(n_test, num_classes) + 0.2,
+      labels_train=get_multihot_labels_for_test(n_train, num_classes),
+      labels_test=get_multihot_labels_for_test(n_test, num_classes),
+      sample_weight_train=rng.randn(n_train, 1),
+      sample_weight_test=rng.randn(n_test, 1))
+
+
 def get_test_input_logits_only(n_train, n_test):
   """Get example input logits for attacks."""
   rng = np.random.RandomState(4)
@@ -80,6 +93,16 @@ def get_test_input_logits_only(n_train, n_test):
       logits_test=rng.randn(n_test, 5) + 0.2)
 
 
+def get_test_input_logits_only_with_sample_weights(n_train, n_test):
+  """Get example input logits for attacks."""
+  rng = np.random.RandomState(4)
+  return AttackInputData(
+      logits_train=rng.randn(n_train, 5) + 0.2,
+      logits_test=rng.randn(n_test, 5) + 0.2,
+      sample_weight_train=rng.randn(n_train, 1),
+      sample_weight_test=rng.randn(n_test, 1))
+
+
 class RunAttacksTest(parameterized.TestCase):
 
   def test_run_attacks_size(self):
@@ -113,6 +136,17 @@ class RunAttacksTest(parameterized.TestCase):
 
     self.assertLen(result.single_attack_results, 2)
 
+  def test_run_attacks_parallel_backend_with_sample_weights(self):
+    result = mia.run_attacks(
+        get_multilabel_test_input_with_sample_weights(100, 100),
+        SlicingSpec(), (
+            AttackType.LOGISTIC_REGRESSION,
+            AttackType.RANDOM_FOREST,
+        ),
+        backend='threading')
+
+    self.assertLen(result.single_attack_results, 2)
+
   def test_trained_attacks_logits_only_size(self):
     result = mia.run_attacks(
         get_test_input_logits_only(100, 100), SlicingSpec(),
@@ -120,6 +154,13 @@ class RunAttacksTest(parameterized.TestCase):
 
     self.assertLen(result.single_attack_results, 1)
 
+  def test_trained_attacks_logits_only_with_sample_weights_size(self):
+    result = mia.run_attacks(
+        get_test_input_logits_only_with_sample_weights(100, 100), SlicingSpec(),
+        (AttackType.LOGISTIC_REGRESSION,))
+
+    self.assertLen(result.single_attack_results, 1)
+
   def test_run_attack_trained_sets_attack_type(self):
     result = mia._run_attack(
         get_test_input(100, 100), AttackType.LOGISTIC_REGRESSION)
@@ -271,6 +312,15 @@ class RunAttacksTestOnMultilabelData(absltest.TestCase):
 
     self.assertLen(result.single_attack_results, 1)
 
+  def test_run_attacks_parallel_backend_with_sample_weights(self):
+    result = mia.run_attacks(
+        get_multilabel_test_input_with_sample_weights(100, 100),
+        SlicingSpec(),
+        (AttackType.LOGISTIC_REGRESSION, AttackType.RANDOM_FOREST),
+        backend='threading')
+
+    self.assertLen(result.single_attack_results, 2)
+
   def test_run_attack_trained_sets_attack_type(self):
     result = mia._run_attack(
         get_multilabel_test_input(100, 100), AttackType.LOGISTIC_REGRESSION)
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models.py
index 6e6c02e..77045b1 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models.py
@@ -39,6 +39,8 @@ class AttackerData:
   features_all: Optional[np.ndarray] = None
   # Indicator for whether the example is in-training (0) or out-of-training (1).
   labels_all: Optional[np.ndarray] = None
+  # Sample weights of in-training and out-of-training examples, if provided.
+  sample_weights_all: Optional[np.ndarray] = None
 
   # Indices for `features_all` and `labels_all` that are going to be used for
   # training the attackers.
@@ -75,6 +77,12 @@ def create_attacker_data(attack_input_data: data_structures.AttackInputData,
   ntrain, ntest = attack_input_train.shape[0], attack_input_test.shape[0]
   features_all = np.concatenate((attack_input_train, attack_input_test))
   labels_all = np.concatenate((np.zeros(ntrain), np.ones(ntest)))
+  if attack_input_data.has_nonnull_sample_weights():
+    sample_weights_all = np.concatenate((attack_input_data.sample_weight_train,
+                                         attack_input_data.sample_weight_test),
+                                        axis=0)
+  else:
+    sample_weights_all = None
 
   fold_indices = np.arange(ntrain + ntest)
   left_out_indices = np.asarray([], dtype=np.int32)
@@ -99,6 +107,7 @@ def create_attacker_data(attack_input_data: data_structures.AttackInputData,
   return AttackerData(
       features_all=features_all,
       labels_all=labels_all,
+      sample_weights_all=sample_weights_all,
       fold_indices=fold_indices,
       left_out_indices=left_out_indices,
       data_size=data_structures.DataSize(ntrain=ntrain, ntest=ntest))
@@ -158,7 +167,7 @@ class TrainedAttacker(object):
           n_jobs=self.n_jobs)
       logging.info('Using %s backend for training.', backend)
 
-  def train_model(self, input_features, is_training_labels):
+  def train_model(self, input_features, is_training_labels, sample_weight=None):
     """Train an attacker model.
 
     This is trained on examples from train and test datasets.
@@ -168,6 +177,10 @@ class TrainedAttacker(object):
         number of features.
       is_training_labels : a vector of booleans of shape (n_samples, )
         representing whether the sample is in the training set or not.
+      sample_weight: a vector of weights of shape (n_samples, ) that are
+        assigned to individual samples. If not provided, then each sample is
+        given unit weight. Only the LogisticRegressionAttacker and the
+        RandomForestAttacker support sample weights.
     """
     raise NotImplementedError()
 
@@ -193,7 +206,7 @@ class LogisticRegressionAttacker(TrainedAttacker):
   def __init__(self, backend: Optional[str] = None):
     super().__init__(backend=backend)
 
-  def train_model(self, input_features, is_training_labels):
+  def train_model(self, input_features, is_training_labels, sample_weight=None):
     with self.ctx_mgr:
       lr = linear_model.LogisticRegression(solver='lbfgs', n_jobs=self.n_jobs)
       param_grid = {
@@ -201,7 +214,7 @@ class LogisticRegressionAttacker(TrainedAttacker):
       }
       model = model_selection.GridSearchCV(
           lr, param_grid=param_grid, cv=3, n_jobs=self.n_jobs, verbose=0)
-      model.fit(input_features, is_training_labels)
+      model.fit(input_features, is_training_labels, sample_weight=sample_weight)
     self.model = model
 
 
@@ -211,7 +224,8 @@ class MultilayerPerceptronAttacker(TrainedAttacker):
   def __init__(self, backend: Optional[str] = None):
     super().__init__(backend=backend)
 
-  def train_model(self, input_features, is_training_labels):
+  def train_model(self, input_features, is_training_labels, sample_weight=None):
+    del sample_weight  # MLP attacker does not use sample weights.
     with self.ctx_mgr:
       mlp_model = neural_network.MLPClassifier()
       param_grid = {
@@ -231,7 +245,7 @@ class RandomForestAttacker(TrainedAttacker):
   def __init__(self, backend: Optional[str] = None):
     super().__init__(backend=backend)
 
-  def train_model(self, input_features, is_training_labels):
+  def train_model(self, input_features, is_training_labels, sample_weight=None):
     """Setup a random forest pipeline with cross-validation."""
     with self.ctx_mgr:
       rf_model = ensemble.RandomForestClassifier(n_jobs=self.n_jobs)
@@ -241,11 +255,11 @@ class RandomForestAttacker(TrainedAttacker):
           'max_features': ['auto', 'sqrt'],
           'max_depth': [5, 10, 20, None],
           'min_samples_split': [2, 5, 10],
-          'min_samples_leaf': [1, 2, 4]
+          'min_samples_leaf': [1, 2, 4],
       }
       model = model_selection.GridSearchCV(
           rf_model, param_grid=param_grid, cv=3, n_jobs=self.n_jobs, verbose=0)
-      model.fit(input_features, is_training_labels)
+      model.fit(input_features, is_training_labels, sample_weight=sample_weight)
     self.model = model
 
 
@@ -255,7 +269,8 @@ class KNearestNeighborsAttacker(TrainedAttacker):
   def __init__(self, backend: Optional[str] = None):
     super().__init__(backend=backend)
 
-  def train_model(self, input_features, is_training_labels):
+  def train_model(self, input_features, is_training_labels, sample_weight=None):
+    del sample_weight  # K-NN attacker does not use sample weights.
     with self.ctx_mgr:
       knn_model = neighbors.KNeighborsClassifier(n_jobs=self.n_jobs)
       param_grid = {
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models_test.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models_test.py
index 4a4bcf9..032864b 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/models_test.py
@@ -68,6 +68,25 @@ class TrainedAttackerTest(parameterized.TestCase):
         attack_input.is_multilabel_data(),
         msg='Expected multilabel check to pass.')
 
+  def test_multilabel_create_attacker_data_logits_labels_sample_weights(self):
+    attack_input = AttackInputData(
+        logits_train=np.array([[1, 2], [5, 6], [8, 9]]),
+        logits_test=np.array([[10, 11], [14, 15]]),
+        labels_train=np.array([[0, 1], [1, 1], [1, 0]]),
+        labels_test=np.array([[1, 0], [1, 1]]),
+        sample_weight_train=np.array([1.0, 0.5, 0.0]),
+        sample_weight_test=np.array([1.0, 0.5]))
+    attacker_data = models.create_attacker_data(attack_input, balance=False)
+    self.assertLen(attacker_data.features_all, 5)
+    self.assertLen(attacker_data.fold_indices, 5)
+    self.assertEmpty(attacker_data.left_out_indices)
+    self.assertTrue(
+        attack_input.is_multilabel_data(),
+        msg='Expected multilabel check to pass.')
+    self.assertTrue(
+        attack_input.has_nonnull_sample_weights(),
+        msg='Expected to have sample weights.')
+
   def test_unbalanced_create_attacker_data_loss_and_logits(self):
     attack_input = AttackInputData(
         logits_train=np.array([[1, 2], [5, 6], [8, 9]]),
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation.py
index 9d87c4b..78e7f2e 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation.py
@@ -14,7 +14,7 @@
 """A hook and a function in tf estimator for membership inference attack."""
 
 import os
-from typing import Iterable
+from typing import Iterable, Optional
 
 from absl import logging
 import numpy as np
@@ -26,7 +26,10 @@ from tensorflow_privacy.privacy.privacy_tests.membership_inference_attack import
 from tensorflow_privacy.privacy.privacy_tests.membership_inference_attack import utils_tensorboard
 
 
-def calculate_losses(estimator, input_fn, labels):
+def calculate_losses(estimator,
+                     input_fn,
+                     labels,
+                     sample_weight: Optional[np.ndarray] = None):
   """Get predictions and losses for samples.
 
   The assumptions are 1) the loss is cross-entropy loss, and 2) user have
@@ -38,13 +41,17 @@ def calculate_losses(estimator, input_fn, labels):
     estimator: model to make prediction
     input_fn: input function to be used in estimator.predict
     labels: array of size (n_samples, ), true labels of samples (integer valued)
+    sample_weight: a vector of weights of shape (n_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
 
   Returns:
     preds: probability vector of each sample
     loss: cross entropy loss of each sample
   """
   pred = np.array(list(estimator.predict(input_fn=input_fn)))
-  loss = utils.log_loss(labels, pred)
+  loss = utils.log_loss(labels, pred, sample_weight=sample_weight)
   return pred, loss
 
 
@@ -65,8 +72,10 @@ class MembershipInferenceTrainingHook(tf_estimator.SessionRunHook):
 
     Args:
       estimator: model to be tested
-      in_train: (in_training samples, in_training labels)
-      out_train: (out_training samples, out_training labels)
+      in_train: (in_training samples, in_training labels,
+        in_train_sample_weights=None)
+      out_train: (out_training samples, out_training labels,
+        out_train_sample_weights=None)
       input_fn_constructor: a function that receives sample, label and construct
         the input_fn for model prediction
       slicing_spec: slicing specification of the attack
@@ -75,8 +84,24 @@ class MembershipInferenceTrainingHook(tf_estimator.SessionRunHook):
       tensorboard_merge_classifiers: if true, plot different classifiers with
         the same slicing_spec and metric in the same figure
     """
-    in_train_data, self._in_train_labels = in_train
-    out_train_data, self._out_train_labels = out_train
+    if len(in_train) == 2:
+      in_train_data, self._in_train_labels = in_train
+      self._in_train_sample_weights = None
+    elif len(in_train) == 3:
+      (in_train_data, self._in_train_labels,
+       self._in_train_sample_weights) = in_train
+    else:
+      raise ValueError('`in_train` should be length 2 or 3, received '
+                       f'{len(in_train)}')
+    if len(out_train) == 2:
+      out_train_data, self._out_train_labels = out_train
+      self._out_train_sample_weights = None
+    elif len(out_train) == 3:
+      (out_train_data, self._out_train_labels,
+       self._out_train_sample_weights) = in_train
+    else:
+      raise ValueError('`out_train` should be length 2 or 3, received '
+                       f'{len(out_train)}')
 
     # Define the input functions for both in and out-training samples.
     self._in_train_input_fn = input_fn_constructor(in_train_data,
@@ -105,8 +130,10 @@ class MembershipInferenceTrainingHook(tf_estimator.SessionRunHook):
   def end(self, session):
     results = run_attack_helper(self._estimator, self._in_train_input_fn,
                                 self._out_train_input_fn, self._in_train_labels,
-                                self._out_train_labels, self._slicing_spec,
-                                self._attack_types)
+                                self._out_train_labels,
+                                self._in_train_sample_weights,
+                                self._out_train_sample_weights,
+                                self._slicing_spec, self._attack_types)
     logging.info(results)
 
     att_types, att_slices, att_metrics, att_values = data_structures.get_flattened_attack_metrics(
@@ -137,8 +164,10 @@ def run_attack_on_tf_estimator_model(
 
   Args:
     estimator: model to be tested
-    in_train: (in_training samples, in_training labels)
-    out_train: (out_training samples, out_training labels)
+    in_train: (in_training samples, in_training labels,
+      in_training_sample_weights=None)
+    out_train: (out_training samples, out_training labels,
+      out_training_sample_weights=None)
     input_fn_constructor: a function that receives sample, label and construct
       the input_fn for model prediction
     slicing_spec: slicing specification of the attack
@@ -147,8 +176,20 @@ def run_attack_on_tf_estimator_model(
   Returns:
     Results of the attack
   """
-  in_train_data, in_train_labels = in_train
-  out_train_data, out_train_labels = out_train
+
+  def unpack(data):
+    sample_weights = None
+    if len(data) == 2:
+      inputs, labels = data
+    elif len(in_train) == 3:
+      inputs, labels, sample_weights = in_train
+    else:
+      raise ValueError('`data` should be length 2 or 3, received '
+                       f'{len(data)}')
+    return inputs, labels, sample_weights
+
+  in_train_data, in_train_labels, in_train_sample_weights = unpack(in_train)
+  out_train_data, out_train_labels, out_train_sample_weights = unpack(out_train)
 
   # Define the input functions for both in and out-training samples.
   in_train_input_fn = input_fn_constructor(in_train_data, in_train_labels)
@@ -156,8 +197,9 @@ def run_attack_on_tf_estimator_model(
 
   # Call the helper to run the attack.
   results = run_attack_helper(estimator, in_train_input_fn, out_train_input_fn,
-                              in_train_labels, out_train_labels, slicing_spec,
-                              attack_types)
+                              in_train_labels, out_train_labels,
+                              in_train_sample_weights, out_train_sample_weights,
+                              slicing_spec, attack_types)
   logging.info('End of training attack:')
   logging.info(results)
   return results
@@ -168,6 +210,8 @@ def run_attack_helper(estimator,
                       out_train_input_fn,
                       in_train_labels,
                       out_train_labels,
+                      in_train_sample_weight: Optional[np.ndarray] = None,
+                      out_train_sample_weight: Optional[np.ndarray] = None,
                       slicing_spec: data_structures.SlicingSpec = None,
                       attack_types: Iterable[data_structures.AttackType] = (
                           data_structures.AttackType.THRESHOLD_ATTACK,)):
@@ -179,6 +223,14 @@ def run_attack_helper(estimator,
     out_train_input_fn: input_fn for out of training data
     in_train_labels: in training labels
     out_train_labels: out of training labels
+    in_train_sample_weight: a vector of weights of shape (n_train, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
+    out_train_sample_weight: a vector of weights of shape (n_test, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
     slicing_spec: slicing specification of the attack
     attack_types: a list of attacks, each of type AttackType
 
@@ -186,18 +238,25 @@ def run_attack_helper(estimator,
     Results of the attack
   """
   # Compute predictions and losses
-  in_train_pred, in_train_loss = calculate_losses(estimator, in_train_input_fn,
-                                                  in_train_labels)
-  out_train_pred, out_train_loss = calculate_losses(estimator,
-                                                    out_train_input_fn,
-                                                    out_train_labels)
+  in_train_pred, in_train_loss = calculate_losses(
+      estimator,
+      in_train_input_fn,
+      in_train_labels,
+      sample_weight=in_train_sample_weight)
+  out_train_pred, out_train_loss = calculate_losses(
+      estimator,
+      out_train_input_fn,
+      out_train_labels,
+      sample_weight=out_train_sample_weight)
   attack_input = data_structures.AttackInputData(
       logits_train=in_train_pred,
       logits_test=out_train_pred,
       labels_train=in_train_labels,
       labels_test=out_train_labels,
       loss_train=in_train_loss,
-      loss_test=out_train_loss)
+      loss_test=out_train_loss,
+      sample_weight_train=in_train_sample_weight,
+      sample_weight_test=out_train_sample_weight)
   results = mia.run_attacks(
       attack_input, slicing_spec=slicing_spec, attack_types=attack_types)
   return results
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_example.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_example.py
index 2b2d87b..b3b4ffa 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_example.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_example.py
@@ -96,6 +96,8 @@ def main(unused_argv):
 
   # Load training and test data.
   x_train, y_train, x_test, y_test = load_cifar10()
+  # Sample weights are set to `None` by default, but can be changed here.
+  sample_weight_train, sample_weight_test = None, None
 
   # Instantiate the tf.Estimator.
   classifier = tf_estimator.Estimator(
@@ -142,7 +144,8 @@ def main(unused_argv):
 
   print('End of training attack')
   attack_results = run_attack_on_tf_estimator_model(
-      classifier, (x_train, y_train), (x_test, y_test),
+      classifier, (x_train, y_train, sample_weight_train),
+      (x_test, y_test, sample_weight_test),
       input_fn_constructor,
       slicing_spec=SlicingSpec(entire_dataset=True, by_class=True),
       attack_types=[
diff --git a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_test.py b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_test.py
index cdef4f5..e26fa9f 100644
--- a/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/membership_inference_attack/tf_estimator_evaluation_test.py
@@ -36,6 +36,8 @@ class UtilsTest(absltest.TestCase):
     self.test_data = np.random.rand(self.ntest, self.ndim)
     self.train_labels = np.random.randint(self.nclass, size=self.ntrain)
     self.test_labels = np.random.randint(self.nclass, size=self.ntest)
+    self.sample_weight_train = np.random.rand(self.ntrain)
+    self.sample_weight_test = np.random.rand(self.ntest)
 
     # Define a simple model function
     def model_fn(features, labels, mode):
@@ -70,6 +72,14 @@ class UtilsTest(absltest.TestCase):
     self.assertEqual(pred.shape, (self.ntrain, self.nclass))
     self.assertEqual(loss.shape, (self.ntrain,))
 
+    pred, loss = tf_estimator_evaluation.calculate_losses(
+        self.classifier,
+        self.input_fn_train,
+        self.train_labels,
+        sample_weight=self.sample_weight_train)
+    self.assertEqual(pred.shape, (self.ntrain, self.nclass))
+    self.assertEqual(loss.shape, (self.ntrain,))
+
     pred, loss = tf_estimator_evaluation.calculate_losses(
         self.classifier, self.input_fn_test, self.test_labels)
     self.assertEqual(pred.shape, (self.ntest, self.nclass))
@@ -83,6 +93,27 @@ class UtilsTest(absltest.TestCase):
         self.input_fn_test,
         self.train_labels,
         self.test_labels,
+        self.sample_weight_train,
+        self.sample_weight_test,
+        attack_types=[data_structures.AttackType.THRESHOLD_ATTACK])
+    self.assertIsInstance(results, data_structures.AttackResults)
+    att_types, att_slices, att_metrics, att_values = data_structures.get_flattened_attack_metrics(
+        results)
+    self.assertLen(att_types, 2)
+    self.assertLen(att_slices, 2)
+    self.assertLen(att_metrics, 2)
+    self.assertLen(att_values, 3)  # Attacker Advantage, AUC, PPV
+
+  def test_run_attack_helper_with_sample_weights(self):
+    """Test the attack."""
+    results = tf_estimator_evaluation.run_attack_helper(
+        self.classifier,
+        self.input_fn_train,
+        self.input_fn_test,
+        self.train_labels,
+        self.test_labels,
+        in_train_sample_weight=self.sample_weight_train,
+        out_train_sample_weight=self.sample_weight_test,
         attack_types=[data_structures.AttackType.THRESHOLD_ATTACK])
     self.assertIsInstance(results, data_structures.AttackResults)
     att_types, att_slices, att_metrics, att_values = data_structures.get_flattened_attack_metrics(
@@ -112,6 +143,27 @@ class UtilsTest(absltest.TestCase):
     self.assertLen(att_metrics, 2)
     self.assertLen(att_values, 3)  # Attacker Advantage, AUC, PPV
 
+  def test_run_attack_on_tf_estimator_model_with_sample_weights(self):
+    """Test the attack on the final models."""
+
+    def input_fn_constructor(x, y):
+      return tf_compat_v1_estimator.inputs.numpy_input_fn(
+          x={'x': x}, y=y, shuffle=False)
+
+    results = tf_estimator_evaluation.run_attack_on_tf_estimator_model(
+        self.classifier,
+        (self.train_data, self.train_labels, self.sample_weight_train),
+        (self.test_data, self.test_labels),
+        input_fn_constructor,
+        attack_types=[data_structures.AttackType.THRESHOLD_ATTACK])
+    self.assertIsInstance(results, data_structures.AttackResults)
+    att_types, att_slices, att_metrics, att_values = data_structures.get_flattened_attack_metrics(
+        results)
+    self.assertLen(att_types, 2)
+    self.assertLen(att_slices, 2)
+    self.assertLen(att_metrics, 2)
+    self.assertLen(att_values, 3)  # Attacker Advantage, AUC, PPV
+
 
 if __name__ == '__main__':
   absltest.main()
diff --git a/tensorflow_privacy/privacy/privacy_tests/utils.py b/tensorflow_privacy/privacy/privacy_tests/utils.py
index ae97a8d..e8f31aa 100644
--- a/tensorflow_privacy/privacy/privacy_tests/utils.py
+++ b/tensorflow_privacy/privacy/privacy_tests/utils.py
@@ -21,8 +21,20 @@ import numpy as np
 from scipy import special
 
 
+class LossFunction(enum.Enum):
+  """An enum that defines loss function."""
+  CROSS_ENTROPY = 'cross_entropy'
+  SQUARED = 'squared'
+
+
+LossFunctionCallable = Callable[[np.ndarray, np.ndarray, Optional[np.ndarray]],
+                                np.ndarray]
+LossFunctionType = Union[LossFunctionCallable, LossFunction, str]
+
+
 def log_loss(labels: np.ndarray,
              pred: np.ndarray,
+             sample_weight: Optional[np.ndarray] = None,
              from_logits=False,
              small_value=1e-8) -> np.ndarray:
   """Computes the per-example cross entropy loss.
@@ -35,6 +47,10 @@ def log_loss(labels: np.ndarray,
       num_classes) and pred[i] is the logits or probability vector of the i-th
       sample. For binary logistic loss, the shape should be (num_samples,) and
       pred[i] is the probability of the positive class.
+    sample_weight: a vector of weights of shape (num_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
     from_logits: whether `pred` is logits or probability vector.
     small_value: a scalar. np.log can become -inf if the probability is too
       close to 0, so the probability is clipped below by small_value.
@@ -46,6 +62,15 @@ def log_loss(labels: np.ndarray,
     raise ValueError('labels and pred should have the same number of examples,',
                      f'but got {labels.shape[0]} and {pred.shape[0]}.')
   classes = np.unique(labels)
+  if sample_weight is None:
+    # If sample weights are not provided, set them to 1.0.
+    sample_weight = 1.0
+  else:
+    if np.shape(sample_weight)[0] != np.shape(labels)[0]:
+      # Number of elements should be the same.
+      raise ValueError(
+          'Expected sample weights to have the same length as the labels, '
+          f'received {np.shape(sample_weight)[0]} and {np.shape(labels)[0]}.')
 
   # Binary logistic loss
   if pred.size == pred.shape[0]:
@@ -59,22 +84,29 @@ def log_loss(labels: np.ndarray,
     indices_class0 = (labels == 0)
     prob_correct = np.copy(pred)
     prob_correct[indices_class0] = 1 - prob_correct[indices_class0]
-    return -np.log(np.maximum(prob_correct, small_value))
+    return -np.log(np.maximum(prob_correct, small_value)) * sample_weight
 
   # Multi-class categorical cross entropy loss
   if classes.min() < 0 or classes.max() >= pred.shape[1]:
     raise ValueError('labels should be in the range [0, num_classes-1].')
   if from_logits:
     pred = special.softmax(pred, axis=-1)
-  return -np.log(np.maximum(pred[range(labels.size), labels], small_value))
+  return (-np.log(np.maximum(pred[range(labels.size), labels], small_value)) *
+          sample_weight)
 
 
-def squared_loss(y_true: np.ndarray, y_pred: np.ndarray) -> np.ndarray:
+def squared_loss(y_true: np.ndarray,
+                 y_pred: np.ndarray,
+                 sample_weight: Optional[np.ndarray] = None) -> np.ndarray:
   """Computes the per-example squared loss.
 
   Args:
     y_true: numpy array of shape (num_samples,) representing the true labels.
     y_pred: numpy array of shape (num_samples,) representing the predictions.
+    sample_weight: a vector of weights of shape (num_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
 
   Returns:
     the squared loss of each sample.
@@ -93,11 +125,15 @@ def squared_loss(y_true: np.ndarray, y_pred: np.ndarray) -> np.ndarray:
     raise ValueError('Squared loss expects the labels and predictions to have '
                      'shape (num_examples, ), but after np.squeeze, the shapes '
                      'are %s and %s.' % (y_true.shape, y_pred.shape))
-  return (y_true - y_pred)**2
+  if sample_weight is None:
+    # If sample weights are not provided, set them to 1.0.
+    sample_weight = 1.0
+  return sample_weight * (y_true - y_pred)**2
 
 
 def multilabel_bce_loss(labels: np.ndarray,
                         pred: np.ndarray,
+                        sample_weight: Optional[np.ndarray] = None,
                         from_logits=False,
                         small_value=1e-8) -> np.ndarray:
   """Computes the per-multi-label-example cross entropy loss.
@@ -108,6 +144,10 @@ def multilabel_bce_loss(labels: np.ndarray,
       of the vector is one of {0, 1}.
     pred: numpy array of shape (num_samples, num_classes).  pred[i] is the
       logits or probability vector of the i-th sample.
+    sample_weight: a vector of weights of shape (num_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
     from_logits: whether `pred` is logits or probability vector.
     small_value: a scalar. np.log can become -inf if the probability is too
       close to 0, so the probability is clipped below by small_value.
@@ -132,19 +172,21 @@ def multilabel_bce_loss(labels: np.ndarray,
   if not from_logits and ((pred < 0.0) | (pred > 1.0)).any():
     raise ValueError(('Prediction probabilities are not in [0, 1] and '
                       '`from_logits` is set to False.'))
+  if sample_weight is None:
+    # If sample weights are not provided, set them to 1.0.
+    sample_weight = 1.0
+  if isinstance(sample_weight, list):
+    sample_weight = np.asarray(sample_weight)
+  if isinstance(sample_weight, np.ndarray) and (sample_weight.ndim == 1):
+    # NOMUTANTS--np.reshape(X, (-1, 1)) == np.reshape(X, (-N, 1)), N >=1.
+    sample_weight = np.reshape(sample_weight, (-1, 1))
 
   # Multi-class multi-label binary cross entropy loss
   if from_logits:
     pred = special.expit(pred)
   bce = labels * np.log(pred + small_value)
   bce += (1 - labels) * np.log(1 - pred + small_value)
-  return -bce
-
-
-class LossFunction(enum.Enum):
-  """An enum that defines loss function."""
-  CROSS_ENTROPY = 'cross_entropy'
-  SQUARED = 'squared'
+  return -bce * sample_weight
 
 
 def string_to_loss_function(string: str):
@@ -157,12 +199,15 @@ def string_to_loss_function(string: str):
   raise ValueError(f'{string} is not a valid loss function name.')
 
 
-def get_loss(loss: Optional[np.ndarray], labels: Optional[np.ndarray],
-             logits: Optional[np.ndarray], probs: Optional[np.ndarray],
-             loss_function: Union[Callable[[np.ndarray, np.ndarray],
-                                           np.ndarray], LossFunction, str],
-             loss_function_using_logits: Optional[bool],
-             multilabel_data: Optional[bool]) -> Optional[np.ndarray]:
+def get_loss(
+    loss: Optional[np.ndarray],
+    labels: Optional[np.ndarray],
+    logits: Optional[np.ndarray],
+    probs: Optional[np.ndarray],
+    loss_function: LossFunctionCallable,
+    loss_function_using_logits: Optional[bool],
+    multilabel_data: Optional[bool],
+    sample_weight: Optional[np.ndarray] = None) -> Optional[np.ndarray]:
   """Calculates (if needed) losses.
 
   Args:
@@ -176,6 +221,10 @@ def get_loss(loss: Optional[np.ndarray], labels: Optional[np.ndarray],
     loss_function_using_logits: if `loss_function` expects `logits` or
       `probs`.
     multilabel_data: if the data is from a multilabel classification problem.
+    sample_weight: a vector of weights of shape (num_samples, ) that are
+      assigned to individual samples. If not provided, then each sample is
+      given unit weight. Only the LogisticRegressionAttacker and the
+      RandomForestAttacker support sample weights.
 
   Returns:
     Loss (or None if neither the loss nor the labels are present).
@@ -195,12 +244,13 @@ def get_loss(loss: Optional[np.ndarray], labels: Optional[np.ndarray],
     loss_function = string_to_loss_function(loss_function)
   if loss_function == LossFunction.CROSS_ENTROPY:
     if multilabel_data:
-      loss = multilabel_bce_loss(labels, predictions,
+      loss = multilabel_bce_loss(labels, predictions, sample_weight,
                                  loss_function_using_logits)
     else:
-      loss = log_loss(labels, predictions, loss_function_using_logits)
+      loss = log_loss(labels, predictions, sample_weight,
+                      loss_function_using_logits)
   elif loss_function == LossFunction.SQUARED:
-    loss = squared_loss(labels, predictions)
+    loss = squared_loss(labels, predictions, sample_weight)
   else:
-    loss = loss_function(labels, predictions)
+    loss = loss_function(labels, predictions, sample_weight)
   return loss
diff --git a/tensorflow_privacy/privacy/privacy_tests/utils_test.py b/tensorflow_privacy/privacy/privacy_tests/utils_test.py
index 4c37680..cb592a8 100644
--- a/tensorflow_privacy/privacy/privacy_tests/utils_test.py
+++ b/tensorflow_privacy/privacy/privacy_tests/utils_test.py
@@ -89,6 +89,15 @@ class TestLogLoss(parameterized.TestCase):
     loss = utils.log_loss(labels, logits, from_logits=True)
     np.testing.assert_allclose(expected_loss, loss, atol=1e-7)
 
+  def test_log_loss_from_logits_with_sample_weights(self):
+    logits = np.array([[1, 2, 0, -1], [1, 2, 0, -1], [-1, 3, 0, 0]])
+    labels = np.array([0, 3, 1])
+    sample_weight = np.array([1.0, 0.0, 0.5])
+    expected_loss = np.array([1.4401897, 0.0, 0.05572139])
+
+    loss = utils.log_loss(labels, logits, sample_weight, from_logits=True)
+    np.testing.assert_allclose(expected_loss, loss, atol=1e-7)
+
   @parameterized.named_parameters(
       ('label0', 0,
        np.array([
@@ -161,6 +170,14 @@ class TestSquaredLoss(parameterized.TestCase):
     y_pred = np.array([4, 3, 2])
     self.assertRaises(ValueError, utils.squared_loss, y_true, y_pred)
 
+  def test_squared_loss_with_sample_weights(self):
+    y_true = np.array([1, 2, 3, 4.])
+    y_pred = np.array([4, 3, 2, 1.])
+    sample_weight = np.array([1.0, 0.0, 0.5, 1.0])
+    expected_loss = np.array([9, 0, 0.5, 9.])
+    loss = utils.squared_loss(y_true, y_pred, sample_weight)
+    np.testing.assert_allclose(loss, expected_loss, atol=1e-7)
+
 
 class TestMultilabelBCELoss(parameterized.TestCase):
 
@@ -186,6 +203,16 @@ class TestMultilabelBCELoss(parameterized.TestCase):
     loss = utils.multilabel_bce_loss(label, pred, from_logits=from_logits)
     np.testing.assert_allclose(loss, expected_losses, atol=1e-6)
 
+  def test_multilabel_bce_loss_with_sample_weights(self):
+    label = np.array([[0, 1, 0], [1, 1, 0]])
+    pred = np.array([[-1.2, -0.3, 2.1], [0.0, 0.5, 1.5]])
+    sample_weight = np.array([1.0, 0.5])
+    expected_loss = np.array([[0.26328245, 0.85435522, 2.21551943],
+                              [0.34657358, 0.23703848, 0.85070661]])
+    loss = utils.multilabel_bce_loss(
+        label, pred, sample_weight=sample_weight, from_logits=True)
+    np.testing.assert_allclose(loss, expected_loss, atol=1e-6)
+
   @parameterized.named_parameters(
       ('from_logits_true_and_incorrect_values_example1',
        np.array([[0, 1, 1], [1, 1, 0]
@@ -216,7 +243,7 @@ class TestMultilabelBCELoss(parameterized.TestCase):
   )
   def test_multilabel_bce_loss_raises(self, label, pred, from_logits, regex):
     self.assertRaisesRegex(ValueError, regex, utils.multilabel_bce_loss, label,
-                           pred, from_logits)
+                           pred, None, from_logits)
 
 
 class TestGetLoss(parameterized.TestCase):