Weka is a collection of machine learning algorithms for data mining tasks. The algorithms can either be applied directly to a dataset or called from your own Java code. Weka contains tools for data pre-processing, classification, regression, clustering, association rules, and visualization. It is also well-suited for developing new machine learning schemes.
From inside the program there is a method setCostMatrix() in the CostSensitiveClassifier, and a constructor in CostMatrix that can read cost matrix from a Reader.
A possible snippet of code to create CostSensitiveClassifier:
Classifier csrf = new CostSensitiveClassifier(); ((CostSensitiveClassifier)csrf).setClassifier(new RandomForest()); CostMatrix cm = new CostMatrix(2); cm.initialize(); cm.setElement(0,1,20); ((CostSensitiveClassifier)csrf).setCostMatrix(cm);
Source: Weka FAQ