How to apply class weight to a multi-output model? I have a model with 2 categorical outputs.
The first output layer can predict 2 classes: [0, 1]
and the second output layer can predict 3 classes: [0, 1, 2].

How can I apply different class weight dictionaries for each of the outputs?  

For example, how could I apply the dictionary {0: 1, 1: 10} to the first output,
and {0: 5, 1: 1, 2: 10} to the second output?

I've tried to use the following class weights dictionary
weight_class={'output1': {0: 1, 1: 10}, 'output2': {0: 5, 1: 1, 2: 10}}
But the code fails with an error.

My script also runs normally when i remove the class_weight parameter

Code Example

I've created a minimal example that reproduces the error

from tensorflow.python.keras.models import Model
from tensorflow.python.keras.layers import Input, Dense
from tensorflow.python.data import Dataset
import tensorflow as tf
import numpy as np


def preprocess_sample(features, labels):
    label1, label2 = labels
    label1 = tf.one_hot(label1, 2)
    label2 = tf.one_hot(label2, 3)
    return features, (label1, label2)


batch_size = 32

num_samples = 1000
num_features = 10

features = np.random.rand(num_samples, num_features)
labels1 = np.random.randint(2, size=num_samples)
labels2 = np.random.randint(3, size=num_samples)

train = Dataset.from_tensor_slices((features, (labels1, labels2))).map(preprocess_sample).batch(batch_size).repeat()

# Model
inputs = Input(shape=(num_features, ))
output1 = Dense(2, activation='softmax', name='output1')(inputs)
output2 = Dense(3, activation='softmax', name='output2')(inputs)
model = Model(inputs, [output1, output2])

model.compile(loss='categorical_crossentropy', optimizer='adam')
class_weights = {'output1': {0: 1, 1: 10}, 'output2': {0: 5, 1: 1, 2: 10}}
model.fit(train, epochs=10, steps_per_epoch=num_samples // batch_size,
          # class_weight=class_weights
          )


This code runs successfully without the class_weight parameter.
But when you add the class_weight parameter by uncommenting the line
# class_weight=class_weights than the script fails with the following error:  

Traceback (most recent call last):
  File "test.py", line 35, in &lt;module&gt;
    class_weight=class_weights
  File "venv/lib/python3.6/site-packages/tensorflow/python/keras/engine/training.py", line 1536, in fit
    validation_split=validation_split)
  File "venv/lib/python3.6/site-packages/tensorflow/python/keras/engine/training.py", line 992, in _standardize_user_data
    class_weight, batch_size)
  File "venv/lib/python3.6/site-packages/tensorflow/python/keras/engine/training.py", line 1165, in _standardize_weights
    feed_sample_weight_modes)
  File "venv/lib/python3.6/site-packages/tensorflow/python/keras/engine/training.py", line 1164, in &lt;listcomp&gt;
    for (ref, sw, cw, mode) in zip(y, sample_weights, class_weights,
  File "venv/lib/python3.6/site-packages/tensorflow/python/keras/engine/training_utils.py", line 717, in standardize_weights
    y_classes = np.argmax(y, axis=1)
  File "venv/lib/python3.6/site-packages/numpy/core/fromnumeric.py", line 1004, in argmax
    return _wrapfunc(a, 'argmax', axis=axis, out=out)
  File "venv/lib/python3.6/site-packages/numpy/core/fromnumeric.py", line 62, in _wrapfunc
    return _wrapit(obj, method, *args, **kwds)
  File "venv/lib/python3.6/site-packages/numpy/core/fromnumeric.py", line 42, in _wrapit
    result = getattr(asarray(obj), method)(*args, **kwds)
numpy.core._internal.AxisError: axis 1 is out of bounds for array of dimension 1


Edit

I've also opened an issue in the Keras github page, but i wanted to ask the same question here to see if perhaps i'm missing something and doing something wrong.
I wansn't able to use the class_weight parameter yet, but in the mean time i've found another way to apply class weighting to each output layer.  

Current solution

In this keras issue they have supplied an easy method to apply class weights via a custom loss that implements the required class weighing.

def weighted_categorical_crossentropy(y_true, y_pred, weights):
    nb_cl = len(weights)
    final_mask = K.zeros_like(y_pred[:, 0])
    y_pred_max = K.max(y_pred, axis=1)
    y_pred_max = K.reshape(y_pred_max, (K.shape(y_pred)[0], 1))
    y_pred_max_mat = K.cast(K.equal(y_pred, y_pred_max), K.floatx())
    for c_p, c_t in product(range(nb_cl), range(nb_cl)):
        final_mask += (weights[c_t, c_p] * y_pred_max_mat[:, c_p] * y_true[:, c_t])
    return K.categorical_crossentropy(y_pred, y_true) * final_mask


where weights is a CxC matrix (where C is the number of classes) that defines the class weights.
More precisely, weights[i, j] defines the weight for an example of class i which was falsely classified as class j.

So how do we use it?

Keras allows to assign a loss function for each output.
so we could assign each output a loss fucntion with the correct weights matrix.  

For example, to satisfy the request i made in the question we could suggest the following code.

# Define the weight matrices
w1 = np.ones((2, 2))
w1[1, 0] = 10
w1[1, 1] = 10

w2 = np.ones((3, 3))
w2[0, 0] = 5
w2[0, 1] = 5
w2[0, 2] = 5
w2[2, 0] = 10
w2[2, 1] = 10
w2[2, 2] = 10    

# Define the weighted loss functions
from functools import partial
loss1 = partial(weighted_categorical_crossentropy, weights=w1)
loss2 = partial(weighted_categorical_crossentropy, weights=w2)

# Finally, apply the loss functions to the outputs
model.compile(loss={'output1': loss1, 'output2': loss2}, optimizer='adam')


And that accomplishes the request :)

Edit

There is a small edition that needs to be made.
The loss functions must have a name, so we can supply this with the following:

loss1.__name__ = 'loss1'
loss2.__name__ = 'loss2'