>
 > Am I on the right path? Is there any solution to my problem?
 >
 > I have read about weighted SVM from this paper:
 > http://www.ieeexplore.ieee.org/iel5/10498/33257/01571749.pdf?arnumber=1571749.
 > But I don`t know how to code SMO for the weighted SVM.
 >

You may check

"Weights for data instances" at libsvmtools
http://www.csie.ntu.edu.tw/~cjlin/libsvmtools/

It is an SMO implementation for weighted SVM.

Hope it helps.
Chih-Jen

 > Can you please recommend references to any papers where something is given
 > on this problem?